Filipovic Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Erscheinungsjahr 2004
ISBN: 978-3-540-44548-7
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 1760, 138 Seiten, eBook

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Filipovic, Damir

Inhaltsverzeichnis

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.