Park, F. C.; Chun, C. M.; Han, C. W.; Webber, N. - In: Quantitative Finance 11 (2010) 4, pp. 559-572
This paper examines an alternative approach to interest rate modeling, in which the nonlinear and random behavior of interest rates is captured by a stochastic differential equation evolving on a curved state space. We consider as candidate state spaces the matrix Lie groups; these offer not...