Mathematics of the Bond Market
Mathematics of the Bond Market
£129.00
GBPMathematical 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 Lévy 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.
- Suitable for graduates and researchers in probability and mathematical finance
- Analyses models of bond markets with randomness generated by Lévy processes, and includes key results on arbitrage and completeness and applications of nonlinear stochastic PDEs
- Initial chapters introduce the subject in the simpler discrete time case to make the theory accessible to an audience unfamiliar with mathematical finance
- The interdisciplinary approach shows the relevance of stochastic analysis models to finance
Product details
April 2020Hardback
9781107101296
398 pages
241 × 160 × 26 mm
0.71kg
Available
Table of Contents
- 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. Lévy 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 Lévy processes
- Appendix B. Semigroups and generators
- Appendix C. General evolution equations
- References
- Index.
