Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书


Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics)

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发表于2024-11-08

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书



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出版者:Springer
作者:Damir Filipovic
出品人:
页数:145
译者:
出版时间:2001-05-11
价格:USD 42.95
装帧:Paperback
isbn号码:9783540414933
丛书系列:

图书标签: 数学  金融  经济  利率  Finance   


Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书 图书描述

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.

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书
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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2024 pdf epub mobi 电子书


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