On the geometry of the term structure of interest rates

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 460, Issue 2041, 2004, Pages 129-167

  Filipović, Damir ^a   Teichmann, Josef ^b  

^a Princeton University   (United States)

^b VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

Author keywords

Affine term structure; Analysis on Fr chet spaces; Finite dimensional invariant submanifolds; Frobenius theorem; Hypoellipticity; Interest rate models

Indexed keywords

CONFERENCE PAPER; FINANCE; GEOMETRY; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; STOCHASTIC MODEL; TECHNIQUE; THEORETICAL MODEL;

EID: 1542616978     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2003.1238     Document Type: Conference Paper

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