Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Damir Filipovic
Broschiertes Buch

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Versandkostenfrei!
Nicht lieferbar
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 mathematica...