Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets

Name: Fractional Heath-Jarrow-Morton Approach for Interest Rate Markets
Price: 49.23 USD
Availability: InStock
ISBN: 9783639317909

ISBN-10: 3639317904

ISBN-13: 9783639317909

Edition: N/A

Authors: Patrick P. Hargutt

List price: $64.00

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Description:

Interest-rate modelling is a very complex task that has been intensified over the years. Many different approaches have been tested to capture interest rate movements with varying objectives, for instance the pricing of interest rate derivatives. In this book the author Patrick P. Hargutt introduces several interest-rate models whereas he focuses on the very general Heath-Jarrow-Morton model, which models forward rates. In order to achieve a better fit of the model to historic data this book deals in particular with the more complex fractional approach which incorporates a fractional Brownian motion. Therefore this book starts with the necessary mathematical preliminaries. The fractional…

Book details

List price: $64.00
Publisher: VDM Verlag Dr. Mueller e.K.
Binding: Paperback
Pages: 104
Size: 6.00" wide x 9.00" long x 0.25" tall
Weight: 0.374
Language: English