[PDF.72km] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics)

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

[PDF.ph15] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics)

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 | #7212470 in Books |  Springer |  2001-05-11 | Original language:English | PDF # 1 |  9.25 x.34 x6.10l,.48 | File type: PDF | 138 pages

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||7 of 8 people found the following review helpful.| A timely monograph on mathematical aspects of HJM models|By Rama CONT|The class of arbitrage free interest-rate models introduced by Heath, Jarrow and Morton in the 1980s has become the standard mathematical framework for interest rate theory since. In the recent years many researchers have approached HJM models from the viewpoint of infinite dimensional stochastic analysis,

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 f...

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