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100   $a20121227d2001      u|         0
101 0 $aeng
135   $aurnn#008mamaa
181   $ctxt
182   $cc
183   $acr
200 10$aConsistency Problems for Heath-Jarrow-Morton Interest Rate Models /$fby Damir Filipovic
205   $a1st ed. 2001.
210  1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2001.
215   $a1 online resource (X, 138 p.)
225 1 $aLecture Notes in Mathematics,$x1617-9692 ;$v1760
300   $aBibliographic Level Mode of Issuance: Monograph
311 08$a3-540-41493-2 
320   $aIncludes bibliographical references (pages [129]-131) and index.
327   $aIntroduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions.
330   $aThe book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described.
410  0$aLecture Notes in Mathematics,$x1617-9692 ;$v1760
606   $aMathematics
606   $aFinance
606   $aSocial sciences$xMathematics
606   $aProbabilities
606   $aApplications of Mathematics
606   $aFinancial Economics
606   $aMathematics in Business, Economics and Finance
606   $aProbability Theory
615  0$aMathematics.
615  0$aFinance.
615  0$aSocial sciences$xMathematics.
615  0$aProbabilities.
615 14$aApplications of Mathematics.
615 24$aFinancial Economics.
615 24$aMathematics in Business, Economics and Finance.
615 24$aProbability Theory.
676   $a332.82015118
686   $a91B28$2msc
686   $a60H15$2msc
700   $aFilipovic$b Damir$4aut$4http://id.loc.gov/vocabulary/relators/aut$065736
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910144599403321
996   $aConsistency problems for Heath-Jarrow-Morton interest rate models$9262228
997   $aUNINA