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Moduli space for Gaussian term structure models with finite dimensional realizations - MaRDI portal

Moduli space for Gaussian term structure models with finite dimensional realizations

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Publication:543049

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DOI10.11650/TWJM/1500406034zbMath1220.91040OpenAlexW1527016791MaRDI QIDQ543049

Oh Kang Kwon, King-Fai Lai

Publication date: 21 June 2011

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/twjm/1500406034

zbMATH Keywords

Lie algebra moduli space classification of HJM models term structures

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Lie algebras of linear algebraic groups (17B45) Fiber bundles in algebraic topology (55R10)

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