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?
Some system theoretic aspects of interest rate theory
Andrea Gombani
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?File in questo prodotto:
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