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consistency problems for heath-jarrow-morton interest rate models
Filipovic (Author)
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consistency problems for heath-jarrow-morton interest rate models - filipovic
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Synopsis "consistency problems for heath-jarrow-morton interest rate models"
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.
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