Interest rates and information geometry
نویسندگان
چکیده
منابع مشابه
On the Geometry of the Term Structure of Interest Rates
We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fréchet spaces in particular. This approach puts new light on many of the classical models, such as the Hull-White extended Vasicek and Cox-Ingersoll-Ross short rate models. The notion of a finite dimensional ...
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ژورنال
عنوان ژورنال: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
سال: 2001
ISSN: 1364-5021,1471-2946
DOI: 10.1098/rspa.2000.0722