| Consistency Problems for Heath-Jarrow-Morton Interest Rate Models 2001 Edition Contributor(s): Filipovic, Damir (Author) |
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ISBN: 3540414932 ISBN-13: 9783540414933 Publisher: Springer OUR PRICE: $42.74 Product Type: Paperback - Other Formats Published: March 2001 |
| Additional Information |
| BISAC Categories: - Business & Economics | Interest - Mathematics | Probability & Statistics - General - Medical |
| Dewey: 332.820 |
| LCCN: 2001020619 |
| Series: Notes on Numerical Fluid Mechanics |
| Physical Information: 0.32" H x 6.14" W x 9.21" (0.48 lbs) 138 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |