ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
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Publication:5483440
DOI10.1142/S0219024906003639zbMATH Open1154.91427MaRDI QIDQ5483440FDOQ5483440
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)
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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)
Cites Work
- Interest rate dynamics and consistent forward rate curves
- On the existence of finite-dimensional realizations for nonlinear forward rate models.
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Existence of invariant manifolds for stochastic equations in infinite dimension
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
- WHEN IS THE SHORT RATE MARKOVIAN?
Cited In (10)
- Representation of infinite-dimensional forward price models in commodity markets
- Optimal portfolios in commodity futures markets
- CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES
- On finite dimensional realizations of two-country interest rate models
- Interest rate theory and geometry
- Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
- In memoriam: Tomas Björk (1947--2021). On his career and beyond
- Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
- Markov models for commodity futures: theory and practice
- Title not available (Why is that?)
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