Optimization and Systems Theory Seminar
March 21, 1997, 11.00-12.00

Tomas Björk
Department of Finance,
Stockholm School of Economics

Some system theoretic aspects of interest rate theory

Using system theoretic ideas we try to understand when an infinite dimensional stochastic process, like the forward rate curve in an interest rate model, actually evolves on a finite dimensional submanifold of the full Banach space of forward rate curves. We try to answer the following questions.

No previous knowledge in mathematical finance is necessary in order to follow the seminar.

Calendar of seminars
Last update: March 10, 1997 by Anders Forsgren, andersf@math.kth.se.