Infinite dimensional diffusions, Kolmogorov equations and interest rate models (Q2771110)
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scientific article; zbMATH DE number 1705217
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Infinite dimensional diffusions, Kolmogorov equations and interest rate models |
scientific article; zbMATH DE number 1705217 |
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6 February 2003
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interest rates
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financial modeling
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stochastic analysis
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forward interest rates
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stochastic partial differential equation
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forward rate processes
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discounted bond prices
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martingales
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Infinite dimensional diffusions, Kolmogorov equations and interest rate models (English)
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This is a technical paper about models (Gaussian, and Brace-Gatarek-Musiela) of forward interest rates which discuss topics such as:NEWLINENEWLINENEWLINE-- The stochastic partial differential equation satisfied by forward rate processes.NEWLINENEWLINENEWLINE-- Conditions for a general forward rate process so that the discounted bond prices are martingales.NEWLINENEWLINENEWLINEThe paper also investigates to what extent the Kolmogorov backward differential equation approach, traditional when dealing with equity models, can be applied to general interest rate models.NEWLINENEWLINEFor the entire collection see [Zbl 0967.91001].
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