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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Bag om Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783540414933
  • Indbinding:
  • Paperback
  • Sideantal:
  • 138
  • Udgivet:
  • 27. marts 2001
  • Udgave:
  • 2001
  • Størrelse:
  • 234x156x8 mm.
  • Vægt:
  • 480 g.
  • 8-11 hverdage.
  • 10. december 2024
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Forlænget returret til d. 31. januar 2025

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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.

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