Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Record no. 30558)
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000 -LEADER | |
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fixed length control field | 03083nam a22004935i 4500 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
ISBN | 9783540445487 |
-- | 978-3-540-44548-7 |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 519 |
100 1# - MAIN ENTRY--AUTHOR NAME | |
Personal name | Filipović, Damir. |
245 10 - TITLE STATEMENT | |
Title | Consistency Problems for Heath-Jarrow-Morton Interest Rate Models |
Statement of responsibility, etc | by Damir Filipović. |
260 #1 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Place of publication | Berlin, Heidelberg : |
Name of publisher | Springer Berlin Heidelberg, |
Year of publication | 2001. |
300 ## - PHYSICAL DESCRIPTION | |
Number of Pages | X, 138 p. |
Other physical details | online resource. |
490 1# - SERIES STATEMENT | |
Series statement | Lecture Notes in Mathematics, |
505 0# - FORMATTED CONTENTS NOTE | |
Formatted contents note | Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions. |
520 ## - SUMMARY, ETC. | |
Summary, etc | The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Mathematics. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Finance. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Distribution (Probability theory). |
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Mathematics. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Quantitative Finance. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical Term | Probability Theory and Stochastic Processes. |
856 40 - ELECTRONIC LOCATION AND ACCESS | |
Uniform Resource Identifier | http://dx.doi.org/10.1007/b76888 |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Koha item type | E-BOOKS |
264 #1 - | |
-- | Berlin, Heidelberg : |
-- | Springer Berlin Heidelberg, |
-- | 2001. |
336 ## - | |
-- | text |
-- | txt |
-- | rdacontent |
337 ## - | |
-- | computer |
-- | c |
-- | rdamedia |
338 ## - | |
-- | online resource |
-- | cr |
-- | rdacarrier |
347 ## - | |
-- | text file |
-- | |
-- | rda |
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
-- | 1617-9692 ; |
Withdrawn status | Lost status | Damaged status | Not for loan | Current library | Accession Number | Uniform Resource Identifier | Koha item type |
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IMSc Library | EBK1264 | http://dx.doi.org/10.1007/b76888 | E-BOOKS |