Consistency Problems for Heath-Jarrow-Morton Interest Rate Models / Edition 1

by Damir Filipovic

Overview

Bond markets differ in one fundamental aspect from standard sk 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 shastic 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 shastic 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.

Product Details

ISBN-13:	9783540414933
Publisher:	Springer Berlin Heidelberg
Publication date:	05/11/2001
Series:	Lecture Notes in Mathematics , #1760
Edition description:	2001
Pages:	138
Product dimensions:	6.10(w) x 9.25(h) x 0.01(d)

Table of Contents

Introduction.- Shastic Equations in Infinite Dimension.- Consistent State Space Processes.- The HJM Methodology Revisited.- The Forward Curve Spaces H_w.- Invariant Manifolds for Shastic Equations.- Consistent HJM Models.- Appendix: A Summary of Conditions.