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Filipovic D. — Consistency problems for Heath-Jarrow-Morton interest rate models
Filipovic D. — Consistency problems for Heath-Jarrow-Morton interest rate models

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Название: Consistency problems for Heath-Jarrow-Morton interest rate models

Автор: Filipovic D.

Аннотация:

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.


Язык: en

Рубрика: Математика/Вероятность/Стохастические методы в финансах/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 2001

Количество страниц: 134

Добавлена в каталог: 29.05.2005

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Affine HJM model      see “HJM (local) affine”
Arbitrage      2
Arbitrage, absence of      2
BEP(K,n)      see “Exponential-polynomial family bounded”
BGM (Brace — Gatarek — Musiela)      VI
BGM (Brace — Gatarek — Musiela) model      70 89—94
BOND      1
Bond, price      1 30 60
Bond, price, discounted      2 30 63
Bond, zero coupon      1
Brace — Gatarek — Musiela      see “BGM”
Bracket process      17
CAP      69
Caplet      69
CIR (Cox — Ingersoil — Ross)      VI
CIR (Cox — Ingersoil — Ross) model      73 124
Consistency conditions      102
Consistency conditions in local coordinates      109 117
Consistency problems      4—6 33 113—114
Consistent, local HJM model      113
Consistent, state space process      30
Cox — Ingersoll — Ross      see “CIR”
Debut      36
e-consistent      30
ELMM      see “Equivalent local martingale measure”
Embedding      96
EP(K,n)      see “Exponential-polynomial family”
Equivalent local martingale measure      2 30
Exponential-polynomial bounded      34
Exponential-polynomial family      34
Exponential-polynomial regular      118
Factor model      4 29
Forward curve      1 75
Forward LIBOR rate      see “LIBOR rate”
Forward measure      67
Forward rate      1 30 57
Girsanov’s theorem      22
Heath — Jarrow — Morton      see “HJM”
HJM (Heath — Jarrow — Morton)      V
HJM (Heath — Jarrow — Morton) (local) affine      122
HJM (Heath — Jarrow — Morton) (local) model      71
HJM (Heath — Jarrow — Morton) drift condition      30 64
HJM (Heath — Jarrow — Morton) methodology      4 57
HJMM equation      71
Immersion      96
Indistinguishable      13
Infinite dimensional Brownian motion      14
Ito process      19
Ito’s formula      19
LIBOR rate      VI 68
Lifetime      25
Lipschitz constant      26
Lipschitz continuous      26
Lipschitz continuous, locally      26
LNM      see “Local martingale measure”
Local martingale measure      30
Locally bounded      26
Locally invariant      102
Market price of risk      65
Musiela parametrization      5 58
Nelson — Siegel family      3 34 54 121
Novikov’s criterion      21
Parametrization      96
r-consistent      114
REP(K,n)      see “Exponential-polynomial family regular”
Risk neutral measure      2 65
savings account      2 30 60
Short rate      2
Solution to a stochastic equation, (local) mild      24
Solution to a stochastic equation, (local) strong      25
Solution to a stochastic equation, (local) weak      24
Solution to a stochastic equation, lifetime of      see “Lifetime”
Stochastic equation      23
Stochastic equation, time-shifted      25
Stochastic Fubini theorem      20
Stochastic integral      16—19
Submanifold, immersed      96 115
Submanifold, linear      96
Submanifold, regular      96 115
Svensson family      3 34 54
Svensson family, regular      122
Tangent space      97
Usual conditions      13
Vasicek model      56 73 125
Vector field      97
Version      13
Wiener process, cylindrical      14
Wiener process, Q-      15
Yield curve      83
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