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Some system theoretic aspects of interest rate theory

✍ Scribed by Tomas Björk; Bent Jesper Christensen; Andrea Gombani

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
452 KB
Volume
22
Category
Article
ISSN
0167-6687

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✦ Synopsis

Using ideas and methods from system and control theory we review some recent results concering the following two problems: When is a given finite-dimensional submanifold invariant under the action of the dynamics of an interest rate model? When does there exist a finite-dimensional realisation of the input-output map generated by a forward rate model?

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