Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

By Damir Filipović

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.

• Format: Paperback
• Language: English
• ISBN: 3540414932
• ISBN13: 9783540414933
• Release Date: March 2001
• Publisher: Springer
• Length: 138 Pages
• Weight: 0.48 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"