@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",
}