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Stochastic invariance and consistency of financial models · Study

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ArticleStochastic invariance and consistency of financial models

Jerzy Zabczyk2000

Article2000

Stochastic invariance and consistency of financial models

24 citations·0/0 files stored·Rendiconti Lincei Matematica e Applicazioni

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Economic theories and models

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1997The Market Model of Interest Rate Dynamics 1999Interest Rate Dynamics and Consistent Forward Rate Curves 1997Towards a general theory of bond markets 2001On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models 1995Approximation and Support Theorem in Holder Norm for Parabolic Stochastic Partial Differential Equations 1994The support of the solution to a hyperbolic SPDE 2000Invariant manifolds for weak solutions to stochastic equations

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2002On Finite-dimensional Term Structure models

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Year2000

Typearticle

Published2000-01-01

VenueRendiconti Lincei Matematica e Applicazioni

ISSN-L1120-6330

Languageit

Citations24

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ShelfStochastic processes and financial applications

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openalex_workW132382226

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