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

Volumn 457, Issue 2010, 2001, Pages 1343-1363

Interest rates and information geometry

(2) Brody, D C a Hughston, L P a

a IMPERIAL COLLEGE LONDON (United Kingdom)

Author keywords

Arbitrage free term structure movements; Differential geometry and statistics; Heath Jarrow Morton framework; Interest rate models

Indexed keywords

EID: 57249104550 PISSN: 13645021 EISSN: None Source Type: Journal
DOI: 10.1098/rspa.2000.0722 Document Type: Article

Times cited : (36)

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