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| 008 | 010301s2001 gw ob 001 0 eng c | ||
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| 049 | _aMAIN | ||
| 100 | 1 |
_aFilipović, Damir, _d1970- _1https://id.oclc.org/worldcat/entity/E39PBJxrWCgrhMGGyMjrMft7pP _969527 |
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| 245 | 1 | 0 |
_aConsistency problems for Heath-Jarrow-Morton interest rate models / _cDamir Filipović. |
| 260 |
_aBerlin ; _aNew York : _bSpringer, _c©2001. |
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| 300 | _a1 online resource (viii, 134 pages) | ||
| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 347 | _atext file | ||
| 347 | _bPDF | ||
| 490 | 1 |
_aLecture notes in mathematics ; _v1760 |
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| 504 | _aIncludes bibliographical references (pages 129-131) and index. | ||
| 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 | ||
| 546 | _aEnglish. | ||
| 650 | 0 |
_aInterest rates _xMathematical models. _969528 |
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| 650 | 0 |
_aBonds _xMathematical models. _969529 |
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| 650 | 0 | _aMathematics. | |
| 650 | 0 |
_aFinance. _92688 |
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| 650 | 0 |
_aDistribution (Probability theory) _9959 |
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| 650 | 2 | _aMathematics | |
| 650 | 6 |
_aTaux d'intérêt _xModèles mathématiques. _9969276 |
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| 650 | 6 |
_aObligations (Valeurs) _xModèles mathématiques. _9969277 |
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| 650 | 6 |
_aMathématiques. _970699 |
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| 650 | 6 |
_aFinances. _9114847 |
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| 650 | 6 | _aDistribution (Théorie des probabilités) | |
| 650 | 7 |
_afinance. _2aat _92688 |
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| 650 | 7 |
_adistribution (statistics-related concept) _2aat _9966919 |
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| 650 | 7 |
_aFinanzas _xModelos matemáticos _2embne _91081613 |
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| 650 | 7 |
_aBonds _xMathematical models _2fast _969529 |
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| 650 | 7 |
_aInterest rates _xMathematical models _2fast _969528 |
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| 776 | 0 | 8 |
_iPrint version: _aFilipović, Damir, 1970- _tConsistency problems for Heath-Jarrow-Morton interest rate models. _dBerlin ; New York : Springer, ©2001 _z3540414932 _w(DLC) 2001020619 _w(OCoLC)46449160 |
| 830 | 0 |
_aLecture notes in mathematics (Springer-Verlag) ; _v1760. |
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| 856 | 4 | 0 | _uhttps://link-springer-com.libraryproxy.ist.ac.at/10.1007/b76888 |
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