Armerin, Fredrik; Jensen, Bjarne Astrup; Bjork, Tomas - In: Applied Mathematical Finance 14 (2007) 3, pp. 243-260
The paper investigates the possibility of an arbitrage-free model for the term structure of interest rates where the yield curve only changes through a parallel shift. HJM type forward rate models driven by a multidimensional Wiener process and by a general marked point process are considered....