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