scientific article; zbMATH DE number 1642332

MaRDI QIDQ2741092zbMATH OpenFDO

Authors Arunabha Bagchi, K. Suresh Kumar

Publication date 18 November 2001

zbMATH Keywords

infinite-dimensional stochastic equationsinterest ratesterm structure

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cited in

(9)

• Stochastic string models with continuous semimartingales
• Volatility estimation for stochastic PDEs using high-frequency observations
• Infinite dimensional diffusions, Kolmogorov equations and interest rate models
• Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
• A note on the long rate in factor models of the term structure
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
• The equivalent martingale measure conditions in a general model for interest rates
• Duration, factor sensitivities, and interest rate Greeks

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