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.

Bibliographic Information

Book Title: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Authors: Damir Filipović
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/b76888
Publisher: Springer Berlin, Heidelberg
eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2001
Softcover ISBN: 978-3-540-41493-3Published: 27 March 2001
eBook ISBN: 978-3-540-44548-7Published: 02 November 2004
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: X, 138
Topics: Applications of Mathematics, Finance, general, Quantitative Finance, Probability Theory and Stochastic Processes

Publish with us

Policies and ethics

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Overview

Access this book

Other ways to access

Table of contents (10 chapters)

Front Matter

Back Matter

Keywords

About this book

Bibliographic Information

Publish with us

Search

Navigation