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.


Année
2001
Publisher:
Springer
ISBN:
978-3-540414-93-3
Laboratoires:




 Notice créée le 2010-04-24, modifiée le 2019-02-13


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