MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

DOI10.1142/S0219024905003049zbMath1113.91020arXivcond-mat/9902018OpenAlexW3125901957MaRDI QIDQ3023921

Rama Cont

Publication date: 6 July 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9902018

zbMATH Keywords

Hilbert spaceterm structure of interest ratesrandom fieldstochastic PDEforward ratesmultifactor models

Mathematics Subject Classification ID

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Cites Work

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• Towards a general theory of bond markets
• Theory of Financial Risk and Derivative Pricing
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Phenomenology of the interest rate curve

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