Researchers: Camilla Landén, in cooperation with Tomas Björk (Stockholm School of Economics).
The goal of this project is to study the mathematical theory of financial derivatives.
During the year we have investigated the term structure of forwards and futures. We have derived the following: drift conditions for forwards and futures similar to the Heath-Jarrow-Morton drift condition for forward rates, sufficient conditions for the term structures of forwards and futures to be affine, and a pricing formula for options on futures. We have also studied the problem of inverting the futures term structure.
Research 1999/2000
Control theoretic smoothing splines
Geometric theory of linear stochastic systems