- Additional Authors
- Description
- 1 online resource.
- Series Statement
- Encyclopedia of mathematics and its applications ; [174]
- Uniform Title
- Encyclopedia of mathematics and its applications ; v. 174.
- Subjects
- Bibliography (note)
- Includes bibliographical references and index.
- Reproduction (note)
- Source of Description (note)
- Description based on online resource; title from digital title page (viewed on May 11, 2020).
- Contents
- 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.
- ISBN
- LCCN
- 2019053003
- OCLC
- 2019053003
- Author
Barski, Michał, author.
- Title
Mathematics of the bond market : a Lévy processes approach / Michał Barski, Jerzy Zabczyk.
- Publisher
Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2020.
- Copyright Date
©2020
- Type of Content
text
- Type of Medium
computer
- Type of Carrier
online resource
- Series
Encyclopedia of mathematics and its applications ; [174]
Encyclopedia of mathematics and its applications ; v. 174.
- Bibliography
Includes bibliographical references and index.
- Reproduction
Electronic reproduction. Ipswich, MA Available via World Wide Web.
- Note
Description based on online resource; title from digital title page (viewed on May 11, 2020).
- Connect to:
- Added Author
Zabczyk, Jerzy, author.
EBSCOhost
- Other Form:
Print version: Barski, Michał. Mathematics of the bond market Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2020. 9781107101296 (DLC) 2019053002