On the Geometry of Interest Rate Models
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More about this item
KeywordsForward rate curves; interest rate models; factor models; state space models; Markovian realizations;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-30 (All new papers)
- NEP-CBA-2003-11-30 (Central Banking)
- NEP-FIN-2003-11-30 (Finance)
- NEP-MON-2003-11-30 (Monetary Economics)
- NEP-RMG-2003-11-30 (Risk Management)
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