Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Record no. 11581)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03475nam a22005175i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-540-44548-7 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20190213151710.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 121227s2001 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783540445487 |
| -- | 978-3-540-44548-7 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/b76888 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | T57-57.97 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBW |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBW |
| Source | thema |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Filipović, Damir. |
| Relator term | author. |
| Relator code | aut |
| -- | http://id.loc.gov/vocabulary/relators/aut |
| 245 10 - TITLE STATEMENT | |
| Title | Consistency Problems for Heath-Jarrow-Morton Interest Rate Models |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Damir Filipović. |
| 264 #1 - | |
| -- | Berlin, Heidelberg : |
| -- | Springer Berlin Heidelberg : |
| -- | Imprint: Springer, |
| -- | 2001. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | X, 138 p. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Lecture Notes in Mathematics, |
| International Standard Serial Number | 0075-8434 ; |
| Volume number/sequential designation | 1760 |
| 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 or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Applications of Mathematics. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13003 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance, general. |
| -- | http://scigraph.springernature.com/things/product-market-codes/600000 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M13062 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| -- | http://scigraph.springernature.com/things/product-market-codes/M27004 |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783662197301 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783540414933 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Lecture Notes in Mathematics, |
| -- | 0075-8434 ; |
| Volume number/sequential designation | 1760 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1007/b76888 |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 912 ## - | |
| -- | ZDB-2-LNM |
| 912 ## - | |
| -- | ZDB-2-BAE |
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