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 whichis not directly observable. On the empirical side, this necessitatescurve-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.

Скачать книгу бесплатно (djvu, 1.22 Mb)

---

Читать «Consistency Problems for Heath-Jarrow-Morton Interest Rate Models»