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Compact Embeddings for Spaces of Forward Rate Curves

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  • Stefan Tappe

Abstract

The goal of this paper is to prove a compact embedding result for spaces of forward rate curves. As a consequence of this result, we show that any forward rate evolution can be approximated by a sequence of finite dimensional processes in the larger state space.

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  • Stefan Tappe, 2013. "Compact Embeddings for Spaces of Forward Rate Curves," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-6, October.
    • Handle: RePEc:hin:jnlaaa:709505
    DOI: 10.1155/2013/709505
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    Cited by:

    1. Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.

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