On the geometry of the term structure of interest rates

By Damir Filipovi'c, Josef Teichmann. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 2004

68 citations recorded by the source corpus.

Subfields: Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/9136eab95c5ac9358fabbde81120378aaa44755f

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In Finance

1. T. Cass
2. Peter K. Friz
3. Nicolas Victoir
4. Martin Hairer
5. Terry Lyons
6. Archil Gulisashvili
7. Samy Tindel
8. Christian Litterer

In Modeling and Simulation

1. T. Cass
2. Peter K. Friz

Citations in the corpus

• Time-inhomogeneous affine processes (2005, unknown): “[4], [6]), or for other calibration purposes.”
• Densities for rough differential equations under Hormander's condition (2007, background): “Examples of driving signals include fractional Brownian motion with Hurst parameter H > 1/4, the Brownian Bridge returning to zero after time T and the Ornstein-Uhlenbeck process.”