MARC details
| 000 -LEADER |
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04880cam a22008174a 4500 |
| 001 - CONTROL NUMBER |
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ocm50031714 |
| 003 - CONTROL NUMBER IDENTIFIER |
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OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20250703131306.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS |
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m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr |n||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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010301s2001 gw ob 001 0 eng c |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
COO |
| Language of cataloging |
eng |
| Description conventions |
pn |
| Transcribing agency |
COO |
| Modifying agency |
EYM |
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SPLNM |
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EMC |
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GW5XE |
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OCLCQ |
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YNG |
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CSU |
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DKDLA |
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OCLCO |
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OCLCQ |
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OCLCO |
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OCLCQ |
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GW5XE |
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OCLCF |
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OCLCQ |
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OCLCO |
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OCLCQ |
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UAB |
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ESU |
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OCLCQ |
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U3W |
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LEAUB |
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OL$ |
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OCLCQ |
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UKBTH |
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EBLCP |
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OCLCQ |
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OCLCO |
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UKAHL |
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OCLCO |
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OCLCQ |
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OCLCO |
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OCLCL |
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S9M |
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LIP |
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AU@ |
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YDX |
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OCLCO |
| 019 ## - |
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644364611 |
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771200028 |
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1058646041 |
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1113097642 |
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1120877157 |
| -- |
1159615936 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783540445487 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
354044548X |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
3540414932 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
9783540414933 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/b76888. |
| Source of number or code |
doi |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000041331215 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000051320500 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000051690370 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000058016346 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000058347445 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
AU@ |
| System control number |
000060361724 |
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| OCLC library identifier |
NZ1 |
| System control number |
14993656 |
| 029 1# - (OCLC) |
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| OCLC library identifier |
NZ1 |
| System control number |
15295854 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)50031714 |
| Canceled/invalid control number |
(OCoLC)644364611 |
| -- |
(OCoLC)771200028 |
| -- |
(OCoLC)1058646041 |
| -- |
(OCoLC)1113097642 |
| -- |
(OCoLC)1120877157 |
| -- |
(OCoLC)1159615936 |
| 042 ## - AUTHENTICATION CODE |
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| Authentication code |
pcc |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
QA3 |
| Item number |
.L28 no. 1760 |
| Classification number |
HB539 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
PBW. |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
MAT003000. |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
510 s |
| -- |
332.8/2/015118 |
| Edition number |
21 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Filipović, Damir, |
| Dates associated with a name |
1970- |
| -- |
https://id.oclc.org/worldcat/entity/E39PBJxrWCgrhMGGyMjrMft7pP |
| 9 (RLIN) |
69527 |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Consistency problems for Heath-Jarrow-Morton interest rate models / |
| Statement of responsibility, etc. |
Damir Filipović. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc. |
Berlin ; |
| -- |
New York : |
| Name of publisher, distributor, etc. |
Springer, |
| Date of publication, distribution, etc. |
©2001. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
1 online resource (viii, 134 pages) |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| Encoding format |
PDF |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Lecture notes in mathematics ; |
| Volume/sequential designation |
1760 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references (pages 129-131) and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Introduction -- 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 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
The 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 |
| 546 ## - LANGUAGE NOTE |
|---|
| Language note |
English. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Interest rates |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
69528 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Bonds |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
69529 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finance. |
| 9 (RLIN) |
2688 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Distribution (Probability theory) |
| 9 (RLIN) |
959 |
| 650 #2 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Taux d'intérêt |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
969276 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Obligations (Valeurs) |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
969277 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathématiques. |
| 9 (RLIN) |
70699 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finances. |
| 9 (RLIN) |
114847 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Distribution (Théorie des probabilités) |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
finance. |
| Source of heading or term |
aat |
| 9 (RLIN) |
2688 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
distribution (statistics-related concept) |
| Source of heading or term |
aat |
| 9 (RLIN) |
966919 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Finanzas |
| General subdivision |
Modelos matemáticos |
| Source of heading or term |
embne |
| 9 (RLIN) |
1081613 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Bonds |
| General subdivision |
Mathematical models |
| Source of heading or term |
fast |
| 9 (RLIN) |
69529 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Interest rates |
| General subdivision |
Mathematical models |
| Source of heading or term |
fast |
| 9 (RLIN) |
69528 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Print version: |
| Main entry heading |
Filipović, Damir, 1970- |
| Title |
Consistency problems for Heath-Jarrow-Morton interest rate models. |
| Place, publisher, and date of publication |
Berlin ; New York : Springer, ©2001 |
| International Standard Book Number |
3540414932 |
| Record control number |
(DLC) 2001020619 |
| -- |
(OCoLC)46449160 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Lecture notes in mathematics (Springer-Verlag) ; |
| Volume number/sequential designation |
1760. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="https://link-springer-com.libraryproxy.ist.ac.at/10.1007/b76888">https://link-springer-com.libraryproxy.ist.ac.at/10.1007/b76888</a> |
| 938 ## - |
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Askews and Holts Library Services |
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ASKH |
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AH20754721 |
| 938 ## - |
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ProQuest Ebook Central |
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EBLB |
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EBL6300596 |
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YBP Library Services |
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YANK |
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16893457 |
| 994 ## - |
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92 |
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ATIST |