Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics) (Paperback)~ Damir Filipovic (Author)





Product DescriptionResearch 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.


Product Details

• Paperback: 137 pages
• Publisher: Springer; 1 edition (May 11, 2001)
• Language: English
• ISBN-10: 3540414932
• ISBN-13: 978-3540414933