Models of Bond Prices and LIBOR Rates
The Heath-Jarrow-Morton methodology of term structure modelling presented in the previous chapter is based on the arbitrage-free dynamics of instantaneous, continuously compounded forward rates. The assumption that instantaneous rates exist is not always
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Martingale Methods in Financial Modelling
Springer
Marek Musiela
Marek Rutkowski
School of Mathematics University of New South Wales 2052 Sydney, Australia e-mail: [email protected]
Institute of Mathematics Politechnika Warszawska 00-661 Warszawa, Poland e-mail: [email protected]
Managing Editors M.Yor CNRS, Laboratoire de Probabilites Universite Pierre et Marie Curie 4 Place Jussieu, Tour 56 F-75230 Paris Cedex 05, France
I. Karatzas Departments of Mathematics and Statistics Columbia University New York, NY 10027, USA
Mathematics Subject Classification (1991): 60HXX, 62P05, 90A09
The cover figure was made by Yvonne Musiela Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Musiela, Marek: Martingale methods in financial modeUing : theory and applications 1 Marek Musiela ; Marek Rutkowski. - Berlin; Heidelberg; New York ; Barcelona; Budapest; Hong Kong; London; Milan; Paris; Santa Oara ; Singapore; Tokyo: Springer, 1997 (Applications of mathematics; 36) ISBN 978-3-662-22134-1
ISBN 978-3-662-22134-1
ISBN 978-3-662-22132-7 (eBook)
DOl 10.1007/978-3-662-22132-7
This work is subject to copyright. All rights are reserved. whether the whole or part of the material is concerned. specifically the rights of translation. reprinting. reuse of illustrations. recitation. broadcasting. reproduction on microfilm or in any other way. and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9. 1965. in its current version. and permission for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. © Springer-Verlag Berlin Heidelberg 1997 Originally published by Springer-Verlag Berlin Heidelberg New York in 1997 Softcover reprint of the hardcover 1st edition 1997
Typeset from the authors' LaTEX files using Springer-TEX style files SPIN: 10539001 41/3143 - 5432 I 0 - Printed on acid-free paper
Stochastic Mechanics Random Media Signal Processing and Image Synthesis Mathematical Economics and Finance Stochastic Optimization Stochastic Control
Applications of Mathematics Stochastic Modelling and Applied Probability
36
Edited by I. Karatzas M. Yor Advisory Board P. Bremaud
E. Carlen W. Fleming D. Geman G. Grimmett G. Papanicolaou J. Scheinkman
Springer-Verlag Berlin Heidelberg GmbH
Applications of Mathematics 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
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