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  • Search: subject:"realization theory"
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Year of publication
Subject
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Interest rates 1 factor models 1 realization theory 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Björk, Tomas 1 Gombani, Andrea 1
Institution
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1
Published in...
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SSE/EFI Working Paper Series in Economics and Finance 1
Source
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RePEc 1
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Minimal Realizations of Forward Rates
Björk, Tomas; Gombani, Andrea - Economics Institute for Research (SIR), … - 1997
We consider interest rate models where the forward rates are allowed to be driven by a multidimensional Wiener process as well as by a marked point process. Assuming a deterministic volatility structure, and using ideas from systems and control theory, we investigate when the input-output map...
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