scientific article; zbMATH DE number 2046097
From MaRDI portal
Publication:4451068
consistencyshort rate modelsforward rate modelsfinite realizations of forward rate modelsforward rate curve familieslinear realizations of interest rate models
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Recommendations
Cited in
(14)- scientific article; zbMATH DE number 2130503 (Why is no real title available?)
- Hopf filtrations and Larson-type orders in Hopf algebras
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Interest rates and information geometry
- A note on the Nelson-Siegel family
- Carleman Regularization and Hyperfunctions
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
- Geometric analysis of net present value and internal rate of return
- Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
- An optimization model for extracting forward interest rates from a dynamical systems under financial uncertainty
- On the geometry of the term structure of interest rates
- A geometric view of interest rate theory
- In memoriam: Tomas Björk (1947--2021). On his career and beyond
- EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4451068)
