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Consistency problems for Heath-Jarrow-Morton interest rate models

Author: Damir Filipović
Publisher: Berlin ; New York : Springer, ©2001.
Series: Lecture notes in mathematics (Springer-Verlag), 1760.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Filipović, Damir, 1970-
Consistency problems for Heath-Jarrow-Morton interest rate models.
Berlin ; New York : Springer, ©2001
(DLC) 2001020619
(OCoLC)46449160
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Damir Filipović
ISBN: 9783540445487 354044548X
OCLC Number: 50031714
Description: 1 online resource (viii, 134 pages).
Contents: 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.
Series Title: Lecture notes in mathematics (Springer-Verlag), 1760.
Responsibility: Damir Filipović.

Abstract:

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  Read more...

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