| 書目名稱 | Consistency Problems for Heath-Jarrow-Morton Interest Rate Models |
| 編輯 | Damir Filipovi? |
| 視頻video | http://file.papertrans.cn/236/235818/235818.mp4 |
| 概述 | Includes supplementary material: |
| 叢書名稱 | Lecture Notes in Mathematics |
| 圖書封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2001 |
| 關鍵詞 | Measure; Volatility; bond markets; interest rates; invariant models; mathematical finance; stochastic diff |
| 版次 | 1 |
| doi | https://doi.org/10.1007/b76888 |
| isbn_softcover | 978-3-540-41493-3 |
| isbn_ebook | 978-3-540-44548-7Series ISSN 0075-8434 Series E-ISSN 1617-9692 |
| issn_series | 0075-8434 |
| copyright | Springer-Verlag Berlin Heidelberg 2001 |
|Archiver|手機版|小黑屋|
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