Consistency problems for Heath-Jarrow-Morton interest rate models /

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 a...

Full description

Bibliographic Details

Main Author:	Filipović, Damir, 1970-
Corporate Author:	SpringerLink (Online service)
Format:	eBook
Language:	English
Published:	Berlin ; New York : Springer, [2001]
Series:	Lecture notes in mathematics (Springer-Verlag) ; 1760.
Subjects:	Interest rates > Mathematical models. Bonds > Mathematical models. Electronic books.
Online Access:	Connect to the full text of this electronic book