Applications of Information Geometry to Interest Rate Theory

Brody, D C and Hughston, L P. 2001. Applications of Information Geometry to Interest Rate Theory. In: P Sollich; A Coolen; L P Hughston and R F Streater, eds. Disordered and Complex Systems. 535 (1) Melville, NY: American Institute of Physics, 281 - 287. ISBN 1563969831 [Book Section]

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Abstract or Description

There is an information geometry associated with the theory of interest rates. This arises from the fact that the system of smooth yield curves is isomorphic to the convex space of density functions on the positive real line. The arbitrage-free interest rate dynamics of Heath, Jarrow & Morton (1992) can be represented as a process on this space. Properties of this process are investigated and some special cases examined.

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Book Section

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14 March 2001Published

Event Location:

London, United Kingdom

Date range:

10 - 14 July 2000

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Date Deposited:

04 Feb 2022 15:08

Last Modified:

09 Feb 2022 10:42


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