2 citations · 3 across the 2 of their papers we have counts for
2 papers
q-fin.MF2024★ 1 cited
The geometry of multi-curve interest rate models
Claudio Fontana, Giacomo Lanaro, Agatha Murgoci
We study the problems of consistency and of the existence of finite-dimensional realizations for multi-curve interest rate models of Heath-Jarrow-Morton type, generalizing the geom…
math.OC2016★ 2 cited
Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples
Tomas Björk, Mariana Khapko, Agatha Murgoci
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, a…