MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH

By Rama Cont. 2005

103 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2f840338512c1027f219b83e48d2a6160c03dbdf

How researchers see this paper

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In Finance

1. Florian Hildebrandt
2. Mathias Trabs
3. Michael Tehranchi
4. René A. Carmona
5. Markus Bibinger
6. Daniel Lacker
7. Markus Fischer
8. François Delarue

Citations in the corpus

• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING (2005, unknown): “The second motivation is the actual “econometric” modeling of the real-world termstructure dynamics which gives the statistical description of the movements of interest rate as described in Cont (1999).”
• Volatility estimation for stochastic PDEs using high-frequency observations (2017, background): “The term structure model by Cont (2005). It describes a yield curve as a random field, i.”
• Parameter estimation for SPDEs based on discrete observations in time and space (2019, background): “, in neurobiology [31], for the description of oceans [25, 11], climate modelling [12] or the description of interest rates [8, 27].”
• A Characterization of Hedging Portfolios for Interest Rate Contingent Claims (2004, background): “Cont (2004) remarks that this result is counterintuitive and contrary to market practice.”