Mathematics of the Bond Market
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Mathematics of the Bond Market
A Levy Processes Approach
Zabczyk, Jerzy; Barski, Michal
Cambridge University Press
04/2020
398
Dura
Inglês
9781107101296
15 a 20 dias
710
Descrição não disponível.
Introduction; Part I. Bond Market in Discrete Time: 1. Elements of the bond market; 2. Arbitrage-free bond markets; 3. Completeness; Part II. Fundamentals of Stochastic Analysis: 4. Stochastic preliminaries; 5. Levy processes; 6. Martingale representation and Girsanov's theorems; Part III. Bond Market in Continuous Tme: 7. Fundamentals; 8. Arbitrage-free HJM markets; 9. Arbitrage-free factor forward curves models; 10. Arbitrage-free affine term structure; 11. Completeness; Part IV. Stochastic Equations in the Bond Market: 12. Stochastic equations for forward rates; 13. Analysis of the HJMM equation; 14. Analysis of Morton's equation; 15. Analysis of the Morton-Musiela equation; Appendix A. Martingale representation for jump Levy processes; Appendix B. Semigroups and generators; Appendix C. General evolution equations; References; Index.
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Introduction; Part I. Bond Market in Discrete Time: 1. Elements of the bond market; 2. Arbitrage-free bond markets; 3. Completeness; Part II. Fundamentals of Stochastic Analysis: 4. Stochastic preliminaries; 5. Levy processes; 6. Martingale representation and Girsanov's theorems; Part III. Bond Market in Continuous Tme: 7. Fundamentals; 8. Arbitrage-free HJM markets; 9. Arbitrage-free factor forward curves models; 10. Arbitrage-free affine term structure; 11. Completeness; Part IV. Stochastic Equations in the Bond Market: 12. Stochastic equations for forward rates; 13. Analysis of the HJMM equation; 14. Analysis of Morton's equation; 15. Analysis of the Morton-Musiela equation; Appendix A. Martingale representation for jump Levy processes; Appendix B. Semigroups and generators; Appendix C. General evolution equations; References; Index.
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