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  • © 2001

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Part of the book series: Lecture Notes in Mathematics (LNM, volume 1760)

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Table of contents (10 chapters)

  1. Front Matter

    Pages N2-VIII
  2. 1. Introduction

    • Damir Filipović
    Pages 1-11
  3. 2. Stochastic Equations in Infinite Dimensions

    • Damir Filipović
    Pages 13-27
  4. 3. Consistent State Space Processes

    • Damir Filipović
    Pages 29-56
  5. 4. The HJM Methodology Revisited

    • Damir Filipović
    Pages 57-73
  6. 5. The Forward Curve Spaces H w

    • Damir Filipović
    Pages 75-94
  7. 6. Invariant Manifolds for Stochastic Equations

    • Damir Filipović
    Pages 95-111
  8. 7. Consistent HJM Models

    • Damir Filipović
    Pages 113-125
  9. 8. Appendix: A Summary of Conditions

    • Damir Filipović
    Pages 127-128
  10. References

    • Damir Filipović
    Pages 129-131
  11. Index

    • Damir Filipović
    Pages 133-134
  12. Back Matter

    Pages 135-137

About this book

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.

Keywords

  • Measure
  • Volatility
  • bond markets
  • interest rates
  • invariant models
  • mathematical finance
  • stochastic differential equations
  • term structure
  • quantitative finance

Bibliographic Information

Buying options

eBook USD 34.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 49.95
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions