Consistency Problems for Heath-Jarrow-Morton Interest Rate Models PDF Download
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Author: Damir Filipovic
Publisher: Springer
ISBN: 354044548X
Category : Mathematics
Languages : en
Pages : 141
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Book Description
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.
Author: Damir Filipovic
Publisher: Springer
ISBN: 354044548X
Category : Mathematics
Languages : en
Pages : 141
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Book Description
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.
Author: Rajna Gibson
Publisher: Now Publishers Inc
ISBN: 1601983727
Category : Business & Economics
Languages : en
Pages : 171
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Book Description
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.
Author: Damir Filipovic
Publisher: Springer Science & Business Media
ISBN: 3540680152
Category : Mathematics
Languages : en
Pages : 259
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Book Description
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Author: Tomasz R. Bielecki
Publisher: Springer
ISBN: 3540444688
Category : Mathematics
Languages : en
Pages : 259
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Book Description
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.
Author: Alberto Ohashi
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 32
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Book Description
Author: Dariusz Gatarek
Publisher: John Wiley & Sons
ISBN: 0470060417
Category : Business & Economics
Languages : en
Pages : 290
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Book Description
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.
Author: Volker Runde
Publisher: Springer
ISBN: 3540455604
Category : Mathematics
Languages : en
Pages : 302
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Book Description
The notion of amenability has its origins in the beginnings of modern measure theory: Does a finitely additive set function exist which is invariant under a certain group action? Since the 1940s, amenability has become an important concept in abstract harmonic analysis (or rather, more generally, in the theory of semitopological semigroups). In 1972, B.E. Johnson showed that the amenability of a locally compact group G can be characterized in terms of the Hochschild cohomology of its group algebra L^1(G): this initiated the theory of amenable Banach algebras. Since then, amenability has penetrated other branches of mathematics, such as von Neumann algebras, operator spaces, and even differential geometry. Lectures on Amenability introduces second year graduate students to this fascinating area of modern mathematics and leads them to a level from where they can go on to read original papers on the subject. Numerous exercises are interspersed in the text.
Author: Francis E. Burstall
Publisher: Springer
ISBN: 3540453016
Category : Mathematics
Languages : en
Pages : 98
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Book Description
The conformal geometry of surfaces recently developed by the authors leads to a unified understanding of algebraic curve theory and the geometry of surfaces on the basis of a quaternionic-valued function theory. The book offers an elementary introduction to the subject but takes the reader to rather advanced topics. Willmore surfaces in the foursphere, their Bäcklund and Darboux transforms are covered, and a new proof of the classification of Willmore spheres is given.
Author: Ole E Barndorff-Nielsen
Publisher: Springer
ISBN: 3540323856
Category : Mathematics
Languages : en
Pages : 351
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Book Description
This is the second of two volumes containing the revised and completed notes of lectures given at the school "Quantum Independent Increment Processes: Structure and Applications to Physics". This school was held at the Alfried-Krupp-Wissenschaftskolleg in Greifswald in March, 2003, and supported by the Volkswagen Foundation. The school gave an introduction to current research on quantum independent increment processes aimed at graduate students and non-specialists working in classical and quantum probability, operator algebras, and mathematical physics. The present second volume contains the following lectures: "Random Walks on Finite Quantum Groups" by Uwe Franz and Rolf Gohm, "Quantum Markov Processes and Applications in Physics" by Burkhard Kümmerer, Classical and Free Infinite Divisibility and Lévy Processes" by Ole E. Barndorff-Nielsen, Steen Thorbjornsen, and "Lévy Processes on Quantum Groups and Dual Groups" by Uwe Franz.
Author: Michael Wilson
Publisher: Springer Science & Business Media
ISBN: 3540745823
Category : Mathematics
Languages : en
Pages : 233
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Book Description
Littlewood-Paley theory is an essential tool of Fourier analysis, with applications and connections to PDEs, signal processing, and probability. It extends some of the benefits of orthogonality to situations where orthogonality doesn’t really make sense. It does so by letting us control certain oscillatory infinite series of functions in terms of infinite series of non-negative functions. Beginning in the 1980s, it was discovered that this control could be made much sharper than was previously suspected. The present book tries to give a gentle, well-motivated introduction to those discoveries, the methods behind them, their consequences, and some of their applications.
