Consistency Problems For Heath Jarrow Morton Interest Rate Models
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Consistency Problems For Heath Jarrow Morton Interest Rate Models
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Author : Damir Filipovic
language : en
Publisher: Springer
Release Date : 2004-11-02
Consistency Problems For Heath Jarrow Morton Interest Rate Models written by Damir Filipovic and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-02 with Mathematics categories.
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.
Consistency Problems For Heath Jarrow Morton Interest Rate Models
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Author : Damir Filipovic
language : en
Publisher: Springer
Release Date : 2014-10-08
Consistency Problems For Heath Jarrow Morton Interest Rate Models written by Damir Filipovic and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-08 with Mathematics categories.
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.
Paris Princeton Lectures On Mathematical Finance 2003
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Author : Tomasz R. Bielecki
language : en
Publisher: Springer
Release Date : 2004-08-30
Paris Princeton Lectures On Mathematical Finance 2003 written by Tomasz R. Bielecki and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-08-30 with Mathematics categories.
The Paris-Princeton Lectures in Financial Mathematics, of which this is the second volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. This volume presents the following articles: "Hedging of Defaultable Claims" by T. Bielecki, M. Jeanblanc, and M. Rutkowski; "On the Geometry of Interest Rate Models" by T. Björk; "Heterogeneous Beliefs, Speculation and Trading in Financial Markets" by J.A. Scheinkman, and W. Xiong.
Hjm Interest Rate Models With Fractional Brownian Motions
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Author : Alberto Ohashi
language : en
Publisher:
Release Date : 2007
Hjm Interest Rate Models With Fractional Brownian Motions written by Alberto Ohashi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Brownian motion processes categories.
Modeling The Term Structure Of Interest Rates
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Author : Rajna Gibson
language : en
Publisher: Now Publishers Inc
Release Date : 2010
Modeling The Term Structure Of Interest Rates written by Rajna Gibson and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
The Libor Market Model In Practice
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Author : Dariusz Gatarek
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-30
The Libor Market Model In Practice written by Dariusz Gatarek and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-01-30 with Business & Economics categories.
The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.
Open Quantum Systems Ii
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Author : Stéphane Attal
language : en
Publisher: Springer
Release Date : 2006-08-29
Open Quantum Systems Ii written by Stéphane Attal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-29 with Mathematics categories.
Understanding dissipative dynamics of open quantum systems remains a challenge in mathematical physics. This problem is relevant in various areas of fundamental and applied physics. Significant progress in the understanding of such systems has been made recently. These books present the mathematical theories involved in the modeling of such phenomena. They describe physically relevant models, develop their mathematical analysis and derive their physical implications.
Transseries And Real Differential Algebra
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Author : Joris van der Hoeven
language : en
Publisher: Springer
Release Date : 2006-10-31
Transseries And Real Differential Algebra written by Joris van der Hoeven and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-31 with Mathematics categories.
Transseries are formal objects constructed from an infinitely large variable x and the reals using infinite summation, exponentiation and logarithm. They are suitable for modeling "strongly monotonic" or "tame" asymptotic solutions to differential equations and find their origin in at least three different areas of mathematics: analysis, model theory and computer algebra. They play a crucial role in Écalle's proof of Dulac's conjecture, which is closely related to Hilbert's 16th problem. The aim of the present book is to give a detailed and self-contained exposition of the theory of transseries, in the hope of making it more accessible to non-specialists.
Orthogonal Polynomials And Special Functions
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Author : Francisco Marcellàn
language : en
Publisher: Springer
Release Date : 2006-10-18
Orthogonal Polynomials And Special Functions written by Francisco Marcellàn and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-18 with Mathematics categories.
Special functions and orthogonal polynomials in particular have been around for centuries. Can you imagine mathematics without trigonometric functions, the exponential function or polynomials? The present set of lecture notes contains seven chapters about the current state of orthogonal polynomials and special functions and gives a view on open problems and future directions.
Asymptotics For Dissipative Nonlinear Equations
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Author : Nakao Hayashi
language : en
Publisher: Springer
Release Date : 2006-08-23
Asymptotics For Dissipative Nonlinear Equations written by Nakao Hayashi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-08-23 with Mathematics categories.
This is the first book in world literature giving a systematic development of a general asymptotic theory for nonlinear partial differential equations with dissipation. Many typical well-known equations are considered as examples, such as: nonlinear heat equation, KdVB equation, nonlinear damped wave equation, Landau-Ginzburg equation, Sobolev type equations, systems of equations of Boussinesq, Navier-Stokes and others.