An alternative approach on the existence of affine realizations for HJM term structure models
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Author / Producer
Date
2010
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Volume
466 (2122)
Pages / Article No.
3033 - 3060
Publisher
Royal Society
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Edition / version
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Subject
Geometry of interest rate models; invariant foliations; affine realizations; Riccati equations
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received 22 September 2009, Accepted 23 March 2010, Published online before print 23 April 2010.