Minimal realizations in interest rate models

DOI10.1007/S007800050069zbMATH Open0947.60051OpenAlexW2007783962MaRDI QIDQ1979070FDOQ1979070

Authors: Andrea Gombani, Tomas Björk 

Publication date: 24 May 2000

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050069

Recommendations

• On finite dimensional realizations of two-country interest rate models
• Minimum distance estimation and testing for interest rate models
• Minimal variance hedging in multicurve interest rate modeling
• Term structure of interest rates and implied market frictions: the min-Max approach
• Interest rate models -- theory and practice
• scientific article; zbMATH DE number 953313
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Constrained interest rates and changing dynamics at the zero lower bound

zbMATH Keywords

factor modelssystem theoryinterest ratesrealization theoryinput-output mapvolatility structure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic models in economics (91B70) Realizations from input-output data (93B15)

Cited In (25)

• Representation of infinite-dimensional forward price models in commodity markets
• Optimal portfolios in commodity futures markets
• On the role of state variables in interest rates models
• Modeling the risk in mortality projections
• Sensitivity with respect to the yield curve: duration in a stochastic setting
• Consistent curves in the -world: optimal bonds portfolio
• The forward dynamics in energy markets – infinite-dimensional modelling and simulation
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• Finite dimensional Markovian realizations for forward price term structure models
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
• On the construction of finite dimensional realizations for nonlinear forward rate models
• On finite dimensional realizations of two-country interest rate models
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
• Interest rate theory and geometry
• A direct LU solver for pricing American bond options under Hull-White model
• Long-term factorization in Heath-Jarrow-Morton models
• Market-Based Interest Rates: Deterministic Volatility Case
• Entropy and information in the interest rate term structure
• A class of jump-diffusion bond pricing models within the HJM framework
• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• An Italian perspective on the development of financial mathematics from 1992 to 2008
• In memoriam: Tomas Björk (1947--2021). On his career and beyond
• Finite–dimensional Markovian realizations for stochastic volatility forward–rate models
• A filtered no arbitrage model for term structures from noisy data
• On the structure of Gaussian pricing models and Gaussian Markov functional models

This page was built for publication: Minimal realizations in interest rate models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1979070)