On the geometry of the term structure of interest rates

DOI10.1098/rspa.2003.1238zbMath1048.60045OpenAlexW2121121436MaRDI QIDQ3043429

Josef Teichmann, Damir Filipović

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

zbMATH Keywords

hypoellipticityFrobenius theoremaffine term structureinterest-rate modelsanalysis on Fréchet spacesfinite-dimensional invariant submanifolds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Diffusion processes and stochastic analysis on manifolds (58J65)

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