Mathematics of the bond market : a Lévy processes approach [E-Book] / Michał Barski, Jerzy Zabczyk.
Barski, Michał, (author)
Zabczyk, Jerzy, (author)
Cambridge : Cambridge University Press, 2020
1 online resource (xvi, 382 pages)
englisch
9781316181836
9781107101296
Encyclopedia of mathematics and its applications ; 174
Full Text
Table of Contents:
  • Elements of the bond market
  • Arbitrage-free bond markets
  • Completeness
  • Stochastic preliminaries
  • Lévy processes
  • Martingale representation and Girsanov's theorems
  • Fundamentals
  • Arbitrage-free HJM markets
  • Arbitrage-free forward curves models
  • Arbitrage-free affine term structure
  • Completeness
  • Stochastic equations for forward rates
  • Analysis of the HJMM equation
  • Analysis of Morton's equation
  • Analysis of the Morton-Musiela equation.