Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Filipovic, Damir
2001

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
DOI https://doi.org/10.1007/b76888
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
Record creation date 2010-04-24

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