Micha¿ Barski, Jerzy Zabczyk

Mathematics of the Bond Market

A Lévy Processes Approach

• Gebundenes Buch

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 402
• Erscheinungstermin: 17. September 2021
• Englisch
• Abmessung: 240mm x 161mm x 28mm
• Gewicht: 840g
• ISBN-13: 9781107101296
• ISBN-10: 1107101298
• Artikelnr.: 58262038

Autorenporträt

Michä Barski is Professor of Mathematics at the University of Warsaw. His interests include mathematical finance, especially bond market and risk measures. In the years 2011-2016 he held the position of Junior-Professor in Stochastic Processes and their Applications in Finance at the University of Leipzig.

Inhaltsangabe

Introduction
Part I. Bond Market in Discrete Time: 1. Elements of the bond market
2. Arbitrage-free bond markets
3. Completeness
Part II. Fundamentals of Stochastic Analysis: 4. Stochastic preliminaries
5. Lévy processes
6. Martingale representation and Girsanov's theorems
Part III. Bond Market in Continuous Tme: 7. Fundamentals
8. Arbitrage-free HJM markets
9. Arbitrage-free factor forward curves models
10. Arbitrage-free affine term structure
11. Completeness
Part IV. Stochastic Equations in the Bond Market: 12. Stochastic equations for forward rates
13. Analysis of the HJMM equation
14. Analysis of Morton's equation
15. Analysis of the Morton-Musiela equation
Appendix A. Martingale representation for jump Lévy processes
Appendix B. Semigroups and generators
Appendix C. General evolution equations
References
Index.