ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES

DOI10.1142/S0219024906003639zbMATH Open1154.91427MaRDI QIDQ5483440FDOQ5483440

Authors Magnus Blix, Tomas Björk, Camilla Landén 

Publication date 14 August 2006

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

zbMATH Keywords

factor modelsstate space modelsHJM modelsMarkovian realizations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Interest rate dynamics and consistent forward rate curves
• On the construction of finite dimensional realizations for nonlinear forward rate models
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• WHEN IS THE SHORT RATE MARKOVIAN?

Cited in

(11)

• On finite dimensional realizations of two-country interest rate models
• Pricing with finite dimensional dependence
• Consistent parallel and proportional shifts in the term structure of futures prices
• Representation of infinite-dimensional forward price models in commodity markets
• In memoriam: Tomas Björk (1947--2021). On his career and beyond
• Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
• Interest rate theory and geometry
• Markov models for commodity futures: theory and practice
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• scientific article; zbMATH DE number 1724292 (Why is no real title available?)
• Optimal portfolios in commodity futures markets

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