Abstract
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.
Details
Title
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Author(s)
Filipovic, Damir
Series
Lecture Notes in Mathematics, 1760
Date
2001
Publisher
Springer
ISBN
978-3-540414-93-3
Laboratories
CSF
Record Appears in
Scientific production and competences > CDM - College of Management of Technology > SFI - Swiss Finance Institute at EPFL > CSF - The Swissquote Chair in Quantitative Finance
Work outside EPFL
Published
Books
Work outside EPFL
Published
Books
Record creation date
2010-04-24