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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...
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| Lenguaje: | eng |
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Springer
2001
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| Acceso en línea: | https://dx.doi.org/10.1007/b76888 http://cds.cern.ch/record/1691380 |