Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover.


Year:
2001
Publisher:
Springer
ISBN:
978-3-540414-93-3
Laboratories:




 Record created 2010-04-24, last modified 2018-03-17


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