000 | 03475nam a22005175i 4500 | ||
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001 | 978-3-540-44548-7 | ||
003 | DE-He213 | ||
005 | 20190213151710.0 | ||
007 | cr nn 008mamaa | ||
008 | 121227s2001 gw | s |||| 0|eng d | ||
020 |
_a9783540445487 _9978-3-540-44548-7 |
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024 | 7 |
_a10.1007/b76888 _2doi |
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050 | 4 | _aT57-57.97 | |
072 | 7 |
_aPBW _2bicssc |
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072 | 7 |
_aMAT003000 _2bisacsh |
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072 | 7 |
_aPBW _2thema |
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082 | 0 | 4 |
_a519 _223 |
100 | 1 |
_aFilipović, Damir. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
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245 | 1 | 0 |
_aConsistency Problems for Heath-Jarrow-Morton Interest Rate Models _h[electronic resource] / _cby Damir Filipović. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2001. |
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300 |
_aX, 138 p. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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347 |
_atext file _bPDF _2rda |
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490 | 1 |
_aLecture Notes in Mathematics, _x0075-8434 ; _v1760 |
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505 | 0 | _aIntroduction -- 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 | _aThe 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 | _aMathematics. | |
650 | 0 | _aFinance. | |
650 | 0 | _aDistribution (Probability theory. | |
650 | 1 | 4 |
_aApplications of Mathematics. _0http://scigraph.springernature.com/things/product-market-codes/M13003 |
650 | 2 | 4 |
_aFinance, general. _0http://scigraph.springernature.com/things/product-market-codes/600000 |
650 | 2 | 4 |
_aQuantitative Finance. _0http://scigraph.springernature.com/things/product-market-codes/M13062 |
650 | 2 | 4 |
_aProbability Theory and Stochastic Processes. _0http://scigraph.springernature.com/things/product-market-codes/M27004 |
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783662197301 |
776 | 0 | 8 |
_iPrinted edition: _z9783540414933 |
830 | 0 |
_aLecture Notes in Mathematics, _x0075-8434 ; _v1760 |
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856 | 4 | 0 | _uhttps://doi.org/10.1007/b76888 |
912 | _aZDB-2-SMA | ||
912 | _aZDB-2-LNM | ||
912 | _aZDB-2-BAE | ||
999 |
_c11581 _d11581 |