ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS

DOI10.1111/j.1467-9965.2009.00392.xzbMath1182.91185OpenAlexW2110090542MaRDI QIDQ5190055

Irina Slinko

Publication date: 12 March 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00392.x

zbMATH Keywords

state space modelsexchange rateinterest rate modelsinternational economyforward rate curves

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Affine processes and applications in finance
• Interest Rate Dynamics and Consistent Forward Rate Curves
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• Finite–dimensional Markovian realizations for stochastic volatility forward–rate models
• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
• Consistency problems for Heath-Jarrow-Morton interest rate models

This page was built for publication: ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS