Mathematics of the bond market : a Lévy processes approach /
Michał Barski, Jerzy Zabczyk.
Bok Engelsk 2020 · Electronic books.
| Medvirkende | Zabczyk, Jerzy, (author.)
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|---|---|
| Omfang | 1 online resource (xvi, 382 pages) : : digital, PDF file(s).
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| Opplysninger | Title from publisher's bibliographic system (viewed on 22 Apr 2020).. - 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.. - Mathematical models of bond markets are of interest to researchers working in applied mathematics, especially in mathematical finance. This book concerns bond market models in which random elements are represented by Lévy processes. These are more flexible than classical models and are well suited to describing prices quoted in a discontinuous fashion. The book's key aims are to characterize bond markets that are free of arbitrage and to analyze their completeness. Nonlinear stochastic partial differential equations (SPDEs) are an important tool in the analysis. The authors begin with a relatively elementary analysis in discrete time, suitable for readers who are not familiar with finance or continuous time stochastic analysis. The book should be of interest to mathematicians, in particular to probabilists, who wish to learn the theory of the bond market and to be exposed to attractive open mathematical problems.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 1-108-88960-3. - 1-316-18183-9
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