Interest Rate Dynamics and Consistent Forward Rate Curves
نویسندگان
چکیده
منابع مشابه
Interest Rate Dynamics and Consistent Forward Rate Curves∗
We derive general necessary and sufficient conditions for the mutual consistency of a given parametrized family of forward rate curves and the dynamics of a given interest rate model. Consistency in this context means that the interest rate model will produce forward rate curves belonging to the parameterized family. The interest rate model may be driven by a multidimensional Wiener process as ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 1999
ISSN: 0960-1627,1467-9965
DOI: 10.1111/1467-9965.00072