On the geometry of the term structure of interest rates
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Publication:3043429
DOI10.1098/rspa.2003.1238zbMath1048.60045MaRDI QIDQ3043429
Damir Filipović, Josef Teichmann
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2003.1238
hypoellipticity; Frobenius theorem; affine term structure; interest-rate models; analysis on Fréchet spaces; finite-dimensional invariant submanifolds
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G30: Interest rates, asset pricing, etc. (stochastic models)
58J65: Diffusion processes and stochastic analysis on manifolds
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