书目详细信息
： Mathematics of the bond market :
书目信息 机读格式(MARC)
| ISBN： | 9781107101296 |
|---|---|
| ISBN： | 1107101298 |
| 编目源： | LBSOR/DLC DLC OCLCO OCLCF HDC YDX CGU OCLCO YDX OCLCO MBB LML |
| 个人名称： | Barski, Michał |
| 题名： | Mathematics of the bond market : a Lévy processes approach / Michał Barski, Jerzy Zabczyk. |
| 索书号： | F830.91/B282E |
| 载体形态： | xvi, 382 pages : illustrations ; 25 cm. |
| 书目附注： | Includes bibliographical references (pages 373-378) and index. |
| 格式化内容附注： | 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. |