Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
612-822-4611

  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Filipovic, Damir

Paperback

Series: Lecture Notes in Mathematics, Book 1760

Investing & FinanceMedical ReferenceProbability & Statistics

ISBN10: 3540414932
ISBN13: 9783540414933
Publisher: Springer Nature
Published: Mar 27 2001
Pages: 138
Weight: 0.48
Height: 0.32 Width: 6.14 Depth: 9.21
Language: English
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.

Also in

Investing & Finance

View All