Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory a...
保存先:
| 第一著者: | |
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| フォーマット: | Livre numérique |
| 言語: | Anglais |
| 出版事項: |
Berlin [etc.] :
Springer
[20..].
Cham : Springer Nature |
| シリーズ: | Lecture notes in mathematics
1760 |
| 主題: | |
| オンライン･アクセス: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| 注記: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Consistency problems for Heath-Jarrow-Morton interest rate models, Damir Filipovic, 2001, Berlin, Springer, 1 vol. (VIII-134 p.), Lecture notes in mathematics, 3-540-41493-2 • Consistency Problems for Heath-Jarrow-Morton Interest Rate Models, Texte imprimé, 9783662197301 |
| 要約: | The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described. |
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| 記述事項: | Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ISBN: | 9783540445487 (PDF) |
| ISSN: | 1617-9692 |
| アクセス: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |