Some system theoretic aspects of interest rate theory

DOI10.1016/S0167-6687(98)00005-5zbMath0909.90016OpenAlexW2062759405MaRDI QIDQ1265913

Bent Jesper Christensen, Andrea Gombani, Thomas Björk

Publication date: 11 April 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00005-5

zbMATH Keywords

Lie algebrasinterest rate modelrealization theoryfinite-dimensional submanifoldforward rate model

Mathematics Subject Classification ID

Realizations from input-output data (93B15)

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Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities