PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD

DOI10.1142/S0219024906003743zbMath1138.91419arXivcs/0509028MaRDI QIDQ5487841

Li Chen, Erhan Bayraktar, H. Vincent Poor

Publication date: 12 September 2006

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

Full work available at URL: https://arxiv.org/abs/cs/0509028

zbMATH Keywords

interest rate models; consistency problems; infinite dimensional stochastic differential equations; calibration of HJM models

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Interest Rate Dynamics and Consistent Forward Rate Curves
• A Note on the Nelson-Siegel Family
• On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Consistency Problems for Jump‐diffusion Models