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...
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Livre numérique |
| Langue: | Anglais |
| Publié: |
Berlin [etc.] :
Springer
[20..].
Cham : Springer Nature |
| Collection: | Lecture notes in mathematics
1760 |
| Sujets: | |
| Accès en ligne: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
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 |
Table des matières:
- Introduction
- Stochastic Equations in Infinite Dimension
- Consistent State Space Processes
- The HJM Methodology Revisited
- The Forward Curve Spaces H_w
- Invariant Manifolds for Stochastic Equations
- Consistent HJM Models
- Appendix: A Summary of Conditions.