Book contents
- Frontmatter
- Dedication
- Contents
- Preface
- Acknowledgements
- Introduction
- Part I Bond Market in Discrete Time
- Part II Fundamentals of Stochastic Analysis
- Part III Bond Market in Continuous Time
- 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
- Appendix B
- Appendix C
- References
- Index
12 - Stochastic Equations for Forward Rates
from Part IV - Stochastic Equations in the Bond Market
Published online by Cambridge University Press: 06 April 2020
Book contents
- Frontmatter
- Dedication
- Contents
- Preface
- Acknowledgements
- Introduction
- Part I Bond Market in Discrete Time
- Part II Fundamentals of Stochastic Analysis
- Part III Bond Market in Continuous Time
- 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
- Appendix B
- Appendix C
- References
- Index
- Type
- Chapter
- Information
- Mathematics of the Bond Market , pp. 295 - 299Publisher: Cambridge University PressPrint publication year: 2020