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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Damir Filipovic

The 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).

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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics, 1760)

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Length: 138 pages

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