Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2025 pdf epub mobi 電子書 下載


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

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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) 2025 pdf epub mobi 電子書 下載

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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2025 pdf epub mobi 電子書 下載

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2025 pdf epub mobi 電子書 下載

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2025 pdf epub mobi 電子書 下載



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出版者:Springer
作者:Damir Filipovic
出品人:
頁數:145
譯者:
出版時間:2001-05-11
價格:USD 42.95
裝幀:Paperback
isbn號碼:9783540414933
叢書系列:

圖書標籤: 數學  金融  經濟  利率  Finance   


Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) 2025 pdf epub mobi 電子書 下載
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