02627nam a22003498i 4500001001600000003000700016008004100023020001800064020001800082035002000100041000800120082001800128100002900146245010900175264007100284300003900355336002600394337002600420338003600446490006000482500001300542505047300555520093201028650003801960650003401998650002102032700002802053856005202081932003202133596000602165949010602171CR9781316181836UkCbUP140910s2020||||enk o ||1 0|eng|d a9781316181836 a9781107101296 a(Sirsi) a808213 aeng00a332.63/232231 aBarski, Michał,eauthor10aMathematics of the bond market :ba Lévy processes approachh[E-Book] /cMichał Barski, Jerzy Zabczyk. 1aCambridge :bCambridge University Press,c2020e(CUP)fCUP20200108 a1 online resource (xvi, 382 pages) atextbtxt2rdacontent acomputerbc2rdamedia aonline resourcebcr2rdacarrier aEncyclopedia of mathematics and its applications ;v174 aenglisch0 aElements 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. aMathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by Lévy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems. 0aBond marketxMathematical models. 0aFinancexMathematical models. 0aLévy processes.1 aZabczyk, Jerzy,eauthor40uhttps://doi.org/10.1017/9781316181836zVolltext aCambridgeCore (Order 30059) a1 aXX(808213.1)wAUTOc1i808213-1001lELECTRONICmZBrNsYtE-BOOKu25/5/2020xUNKNOWNzUNKNOWN1ONLINE