A geometric view of interest rate theory (Q2771105)
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scientific article; zbMATH DE number 1705215
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A geometric view of interest rate theory |
scientific article; zbMATH DE number 1705215 |
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14 February 2002
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interest rate
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financial modeling
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stochastic analysis
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A geometric view of interest rate theory (English)
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This paper surveys the work of the author, Tomás Björk, and collaborators on some structural questions concerning the modeling of interest rate evolution as related to pricing of financial instruments.NEWLINENEWLINENEWLINESuppose there is given a forward curve process \(M\) (Heath-Jarrow-Morton or Brace-Gatarek-Musiela). The main two questions addressed are:NEWLINENEWLINENEWLINEGiven a family \(F\) (parameterized) of suitable forward curves: if the initial curve belongs to \(F\), are the forward curves produced by \(M\) also in \(F\)?NEWLINENEWLINENEWLINEIs it possible to interpret \(M\) as a finite-dimensional state space model?NEWLINENEWLINENEWLINEFor proofs and details the reader is referred to the original papers.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
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