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- Tomas Björk, Andrea Gombani
- Finance and Stochastics
- 1999

We consider interest rate models where the forward rates are allowed to be driven by a multidimensional Wiener process as well as by a marked point process. Assuming a deterministic volatility structure, and using ideas from systems and control theory, we investigate when the inputoutput map generated by such a model can be realized by a finite dimensional… (More)

We present an alternative approach to the pricing of bonds and bond derivatives in a multivariate factor model for the term structure of interest rates that is based on the solution of an optimal stochastic control problem. It can also be seen as an alternative to the classical approach of computing forward prices by forward measures and as such can be… (More)

We study the concept of a mixed matrix in connection with linear fractional transformations of lossless and passive matrix-valued rational functions, and show that they can be parametrized by sequences of elementary chain matrices. These notions are exemplified on a model of a Surface Acoustic Wave filter for which a state-space realization is carried out… (More)

In this paper we investigate some aspect of the Nevanlinna-Pick and Schur interpolation problem formulated for Schur-functions considered on the right-half plane of C. We consider the well established parametrization of the solution Q = TΘ(S) := (SΘ12 + Θ22)(SΘ11 + Θ21) (see e.g. [2],[6]), where the J-inner function Θ is completely determined by the… (More)

- P. A. Fuhrmann, A. Gombani
- 2005

The paper presents a study of several problems related to spectral factorizations. We assume only a very weak form of coercivity for the p× p spectral function Φ and look at the set Wm of all rectangular, p × m spectral factors. The main object is the arithmetization of the geometry of the set of minimal, stable spectral factors by employing Hardy space… (More)

We present an approach for pricing of illiquid bonds (and bond derivatives) in an arbitrage-free way and consistently with observed prices of liquid bonds. The basic model is a multifactor term structure model with abstract latent factors. The approach is based on stochastic filtering techniques, leading to a continuous update of the distribution of the… (More)

We consider an affine term structure model of interest rates, where the factors satisfy a linear diffusion equation. We assume that the information available to an agent comes from observing the yields of a finite number of traded bonds and that this information is not sufficient to reconstruct exactly the factors. We derive a method to obtain… (More)

- Andrea Gombani
- 2006

We study here a particular application of the theory of Hankel operators to robust control. The techniques of superoptimal Nehari extension developed by Young [16] are employed to derive some properties of a particular controller of a rational function G, called superoptimally robust stabilizing controller. Using this controller, we generalize to the… (More)

- Andrea Gombani, Martine Olivi
- MCSS
- 2000

We present a new parametrization of inner functions based on the Schur algorithm. We make use of state space formulas (in practice we obtain a new parametrization of observable pairs). The main advantage of our parametrization is that for each chart the observability gramian is constant: this leads to a very good behavior in some approximation problems.