Title of article
Some system theoretic aspects of interest rate theory
Author/Authors
Bjِrk، نويسنده , , Tomas and Christensen، نويسنده , , Bent Jesper and Gombani، نويسنده , , Andrea، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
7
From page
17
To page
23
Abstract
Using ideas and methods from system and control theory we review some recent results concering the following two problems: When is a given finite-dimensional submanifold invariant under the action of the dynamics of an interest rate model? When does there exist a finite-dimensional realisation of the input-output map generated by a forward rate model?
Keywords
Lie algebras , Interest rate models , Invariant manifolds , Realization theory , Forward rate curves
Journal title
Insurance Mathematics and Economics
Serial Year
1998
Journal title
Insurance Mathematics and Economics
Record number
1541838
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