Consistency problems for Heath-Jarrow-Morton interest rate models / Damir Filipović.

• Material Type: 図書
• ISBN: 3540414932 (softcover : alk. paper)
• ISSN (series): 0075-8434
• Title: Consistency problems for Heath-Jarrow-Morton interest rate models / Damir Filipović.
• Series Title: Lecture notes in mathematics ; 1760
• Title Heading: Lecture notes in mathematics (Springer-Verlag) ; 1760.
• Author Heading: Filipović, Damir, 1970-
• Publication, Distribution, etc.: Berlin : Springer; Tokyo : Springer
• Publication Date: c2001.
• Publication Date (W3CDTF): 2001
• Extent: viii, 134 p. : ill. ; 24 cm.
• Place of Publication (Country Code): DE
• Text Language Code: eng
• Subject Heading: 利子. Risi.; 債券 (地理区分) Saiken.; 経済モデル. Keizaimoderu.; Interest rates -- Mathematical models.; Bonds -- Mathematical models.
• LCC: QA3; HB539
• DDC: 510 s; 332.8/2/015118
• NDLC: DA98
• Note (Bibliography): Includes bibliographical references (p. [129]-131) and index.
• Holding library: 国立国会図書館
• Call No.: DA98-A10
• Data Provider (Database): 国立国会図書館 : 国立国会図書館蔵書; https://ndlsearch.ndl.go.jp
• Bibliographic ID (NDL): 000003695764; http://id.ndl.go.jp/bib/000003695764
• Bibliographic Record Category (NDL): 211

Table of Contents

Contents

1．　Introduction/ 1

1．1　Bond Markets/ 1

1．2　Forward Curve Fitting Methods and Factor Models/ 3

1．3　The HJM Methodology/ 4