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On the construction of finite dimensional realizations for nonlinear forward rate models. (2000). Bjork, Tomas ; Landen, Camilla .
In: SSE/EFI Working Paper Series in Economics and Finance.
RePEc:hhs:hastef:0420.

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Cited: 16

Citations received by this document

Cites: 16

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Cocites: 32

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  1. Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B.
    In: Papers.
    RePEc:arx:papers:1503.05909.

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  2. Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model. (2014). Chiarolla, Maria B. ; de Angelis, Tiziano.
    In: Papers.
    RePEc:arx:papers:1212.0781.

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  3. Optimal portfolios in commodity futures markets. (2012). Lempa, Jukka ; Benth, Fred Espen.
    In: Papers.
    RePEc:arx:papers:1204.2667.

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  4. Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics. (2011). Platen, Eckhard ; Tappe, Stefan.
    In: Research Paper Series.
    RePEc:uts:rpaper:289.

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  5. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:5.

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  6. Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility. (2011). Maina, Samuel Chege .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2011.

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  7. RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING. (2010). EL QALLI, YASSINE .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:13:y:2010:i:02:n:s0219024910005784.

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  8. Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Maina, Samuel Chege .
    In: Research Paper Series.
    RePEc:uts:rpaper:283.

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  9. Arbitrage Theory in Continuous Time. (2009). Bjork, Tomas .
    In: OUP Catalogue.
    RePEc:oxp:obooks:9780199574742.

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  10. Finite-dimensional Realizations of Regime-switching HJM Models. (2008). Elhouar, Mikael.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:4:p:331-354.

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  11. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
    In: PhD Thesis.
    RePEc:uts:finphd:6.

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  12. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2005.

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  13. On finite dimensional realizations for the term structure of futures prices. (2005). Landen, Camilla ; Bjork, Tomas ; Blix, Magnus.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0620.

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  14. On Finite Dimensional Realizations of Forward Price Term Structure Models. (2004). Gaspar, Raquel.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0569.

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  15. On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models. (2001). Bjork, Tomas ; Svensson, Lars .
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:11:y:2001:i:2:p:205-243.

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  16. On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models. (1999). Bjork, Tomas ; Svensson, Lars .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0338.

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References

References cited by this document

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  5. [13] Inui, K., and Kijima, M. A Markovian framework in multi-factor HeathJarrow -Morton models. Journal of Financial and Quantitative Analysis 33 (1998), 423--440.

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  7. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework. (2004). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl.
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  8. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework. (2003). Nikitopoulos-Sklibosios, Christina.
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  9. On the Geometry of Interest Rate Models. (2003). Bjork, Tomas .
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  10. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
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  11. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
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  12. Finite dimensional Markovian realizations for stochastic volatility forward rate models. (2002). Landen, Camilla ; Bjork, Tomas ; Svensson, Lars .
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  15. Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems. (2000). Chiarella, Carl ; Bhar, Ram.
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  21. On the construction of finite dimensional realizations for nonlinear forward rate models. (2000). Bjork, Tomas ; Landen, Camilla .
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  22. A Geometric View of Interest Rate Theory. (2000). Bjork, Tomas.
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