Minimal realizations in interest rate models

DOI10.1007/s007800050069zbMath0947.60051OpenAlexW2007783962MaRDI QIDQ1979070

Andrea Gombani, Thomas 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

zbMATH Keywords

interest ratesinput-output mapsystem theoryfactor modelsrealization theoryvolatility structure

Mathematics Subject Classification ID

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

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