slwrevolution.com

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Responsive image
Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.Filipovic, Damir is the author of 'Consistency Problems for Heath-Jarrow-Morton Interest Rate Models' with ISBN 9783540414933 and ISBN 3540414932.
PUBLICATION DATE:
FILE SIZE:
7,42
ISBN:
9783540414933
LANGUAGE:
ENGLISH
AUTHOR:
Filipovic, Damir
FORMAT:
PDF EPUB FB2
PRICE:
FREE

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models PDF

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models is a fantastic book. This book is written by authors Filipovic, Damir. You can read Consistency Problems for Heath-Jarrow-Morton Interest Rate Models on our site slwrevolution.com in any convenient format!


...000. Contents Abstract iii Introduction 1 ... [PDF] Consistency Problems For Heath Jarrow Morton ... ... ... A Jump-Diffusion Yield-Factor Model of Interest Rates, working paper, (1999). A Linear-Quadratic Jump-Diffusion Model with Scheduled and Unscheduled Announcements. (1999). A Note on the Nelson-Siegel Family, (1996). A Yield-Factor Model of Interest Rates. (1992). Bond Pricing and the Term Structure of interest rates, (2001). Consistency Problems for Heath-Jarrow-Morton Interest Rate Models ... Consistency Problems for Heath-Jarrow- ... Consistency Problems for Heath-Jarrow-Morton Interest Rate ... ... ... Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760) By Damir Filipovic. Abstract. Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover. Publisher: Springer ... Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) by Damir Filipovic (2001-05-11): Books - Amazon.ca...