@inbook{33af6ff36395432cbf0b1e18c6a86642,

title = "An infinite factor model for the interest rate derivatives",

abstract = "In this paper we model the forward rate process as a stochastic partial differential equation in a Sobolev space. We establish the existence of a martingale measure. We also derive the price of a general contigent claim as the solution to a partial differential equation in an appropriate Hilbert space. Moreover we obtain an explicit formula for the price of the interest rate cap in the Gaussian framework.",

keywords = "Interest rate, Forward rate, Martingale measure, Stochastic partial differential equations, Gaussian random field",

author = "Arunabha Bagchi and {Suresh Kumar}, K.",

year = "2001",

doi = "10.1007/978-3-0348-8291-0_5",

language = "English",

isbn = "978-3-0348-9506-4",

series = "Trends in Mathematics",

publisher = "Birkh{\"a}user",

pages = "59--68",

editor = "Michael Kohlmann and Shanjian Tang",

booktitle = "Mathematical Finance",

address = "Switzerland",

note = "Workshop of the Mathematical Finance Research Project 2000 ; Conference date: 05-10-2000 Through 07-10-2000",

}