Publication Date:
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?
Iris type:
01.01 Articolo in rivista
Keywords:
Forward rate curves; Interest rate models; Invariant manifolds; Realization the
List of contributors:
Gombani, Andrea
Published in: