Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
 |
|
Описание:
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 whichis not directly observable. On the empirical side, this necessitatescurve-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.Похожие книги
 | Compound interest Год: 2011 |
 | The Role of Organized Interest Groups in Policy Making (Central Issues in Contemporary Economic Theory and Policy) Автор: Debora Di Gioacchino, Sergio Ginebi, Laura Sabani Год: 2002 |
 | Climate Development and History of the North Atlantic Realm Автор: Hanse Conference on Climate and History, W. H. Berger, K. -E. Behre, E. Jansen, Gerold Wefer, G. Wefer Год: 1994 |
 | Islamic Finance: Theory and Practice Автор: Paul S. Mills, John R. Presley Год: 2000 |
 | Understanding Interest Rate Swaps Автор: Mary S. Ludwig Год: 1999 |