Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

• Main Author: Filipovic, Damir (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2001.
• Edition: 1st ed. 2001.
• Series: Lecture Notes in Mathematics, 1760
• Subjects: 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...

Table of Contents:

• 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.