Mathematics of the bond market : a Lévy processes approach
著者
書誌事項
Mathematics of the bond market : a Lévy processes approach
（Encyclopedia of mathematics and its applications / edited by G.-C. Rota, 174）
Cambridge University Press, 2020
- : hardback
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注記
Includes bibliographical references (p. [373]-378) and index
内容説明・目次
内容説明
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 Levy 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.
目次
- Introduction
- Part I. Bond Market in Discrete Time: 1. Elements of the bond market
- 2. Arbitrage-free bond markets
- 3. Completeness
- Part II. Fundamentals of Stochastic Analysis: 4. Stochastic preliminaries
- 5. Levy processes
- 6. Martingale representation and Girsanov's theorems
- Part III. Bond Market in Continuous Tme: 7. Fundamentals
- 8. Arbitrage-free HJM markets
- 9. Arbitrage-free factor forward curves models
- 10. Arbitrage-free affine term structure
- 11. Completeness
- Part IV. Stochastic Equations in the Bond Market: 12. Stochastic equations for forward rates
- 13. Analysis of the HJMM equation
- 14. Analysis of Morton's equation
- 15. Analysis of the Morton-Musiela equation
- Appendix A. Martingale representation for jump Levy processes
- Appendix B. Semigroups and generators
- Appendix C. General evolution equations
- References
- Index.
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