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

• 1 July 2002
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 6  (3) , 303-331
• https://doi.org/10.1007/s007800100060

Abstract

Keywords

• FACTOR MODELS
• FORWARD RATES
• STATE SPACE MODEL
• HJM MODEL
• MATHEMATICS
• FACTOR MODEL
• WIENER PROCESS
• STATE SPACE

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)
• Version 1, RePEc (Unconfirmed version)