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
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
Journal title :
Insurance Mathematics and Economics