Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

• Κύριος συγγραφέας: Filipovic, Damir (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2001.
• Έκδοση: 1st ed. 2001.
• Σειρά: Lecture Notes in Mathematics, 1760
• Θέματα: Applied mathematics.; Engineering mathematics.; Finance.; Economics, Mathematical .; Probabilities.; Applications of Mathematics.; Finance, general.; Quantitative Finance.; Probability Theory and Stochastic Processes.

The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory a...

Πίνακας περιεχομένων:

• Introduction
• Stochastic Equations in Infinite Dimension
• Consistent State Space Processes
• The HJM Methodology Revisited
• The Forward Curve Spaces H_w
• Invariant Manifolds for Stochastic Equations
• Consistent HJM Models
• Appendix: A Summary of Conditions.