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https://hdl.handle.net/2440/40093
| Type: | Conference paper |
| Title: | White noise approach to interest rate models |
| Author: | Filinkov, A. Van Der Hoek, J. |
| Citation: | Proceedings of the Quantitative Methods in Finance Conference, December 2001, Sydney.. pp.www1-www18. |
| Issue Date: | 2001 |
| Conference Name: | Quantitative Methods in Finance Conference (2001 : Sydney, Australia) |
| Statement of Responsibility: | Alexei Filinkov and John van der Hoek |
| Abstract: | We discuss the class of models for the term structure of forward interest rates when the dynamics involve the following stochastic evolution equation: dX(t) = _AX(t) + F(t)_dt + BdW(t), X(0) = X0, where X takes values in a separable Hilbert space H. Here A is the generator of a semigroup, B : H → H is a bounded linear operator, W(•) is an H-valued cylindrical Wiener process. This model includes in particular the HJM model (in the parametrization of Musiela), second order term structure models and generalizations. |
| Appears in Collections: | Applied Mathematics publications Aurora harvest 6 |
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