On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models

By Tomas Björk, Lars Svensson. 2001

142 citations recorded by the source corpus.

Subfields: Finance, Management Information Systems

View Paper: https://www.semanticscholar.org/paper/c668645ba961416e58e4b1fe29ee226f282357df

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Josef Teichmann
2. Damir Filipovi'c
3. Ivar Ekeland
4. Jan Kallsen
5. Martino Grasselli
6. Claudio Tebaldi
7. René A. Carmona
8. Michael Tehranchi

In Management Information Systems

1. Damir Filipovi'c
2. Josef Teichmann

Citations in the corpus

• EXISTENCE OF INVARIANT MANIFOLDS FOR STOCHASTIC EQUATIONS IN INFINITE DIMENSION (2003, unknown): “The preceding observation proves a conjecture in [3], namely that every nontrivial generic short rate model is of dimension 2 (see [3, Remark 7.”
• On the geometry of the term structure of interest rates (2004, background): “3 of [4], however, their special setting does not allow to treat the CIR-case.”
• A theory of bond portfolios (2003, background): “In a different context, Hilbert spaces of forward rates were considered in [3] and [6].”