000 03475nam a22005175i 4500
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
024 7 _a10.1007/b76888
_2doi
050 4 _aT57-57.97
072 7 _aPBW
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aPBW
_2thema
082 0 4 _a519
_223
100 1 _aFilipović, Damir.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
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.
300 _aX, 138 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Mathematics,
_x0075-8434 ;
_v1760
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
856 4 0 _uhttps://doi.org/10.1007/b76888
912 _aZDB-2-SMA
912 _aZDB-2-LNM
912 _aZDB-2-BAE
999 _c11581
_d11581