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On the construction of finite dimensional realizations for nonlinear forward rate models · Study

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ArticleOn the construction of finite dimensional realizations for nonlinear forward rate models

Tomas Bj�rk2002

Article2002

On the construction of finite dimensional realizations for nonlinear forward rate models

Tomas Bj�rk · Camilla Land�n

96 citations·0/0 files stored·Finance and Stochastics

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

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References

1985A Theory of the Term Structure of Interest Rates 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1990Pricing Interest-Rate-Derivative Securities 1986Term Structure Movements and Pricing Interest Rate Contingent Claims 1999Term Structure Models Driven by General Lévy Processes 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON 2001On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models

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2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields 2004On the Geometry of Interest Rate Models 2004Finite–dimensional Markovian realizations for stochastic volatility forward–rate models

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004On the Geometry of Interest Rate Modelschapter · 14 shared references 2010A Geometric View of Interest Rate Theorychapter · 12 shared references 2004Finite–dimensional Markovian realizations for stochastic volatility forward–rate modelsarticle · 12 shared references 2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yieldsarticle · 11 shared references 2007Existence of Lévy term structure modelsarticle · 8 shared references 2005Unspanned stochastic volatility and fixed income derivatives pricingarticle · 7 shared references

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Year2002

Typearticle

Published2002-07-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations96

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800100060

openalex_workW1525566855

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