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

Bibliographic Information

Book Title: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Authors: Damir Filipović
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/b76888
Publisher: Springer Berlin, Heidelberg
eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2001
Softcover ISBN: 978-3-540-41493-3Published: 27 March 2001
eBook ISBN: 978-3-540-44548-7Published: 02 November 2004
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: X, 138
Topics: Applications of Mathematics, Finance, general, Quantitative Finance, Probability Theory and Stochastic Processes

Publish with us

Policies and ethics

Authors:

Sections

Buy it now

Buying options

Other ways to access

Table of contents (10 chapters)

Front Matter

Back Matter

About this book