FRACHOT, Antoine; LESNE, Jean-Philippe - In: Annales d'Economie et de Statistique (1995) 40, pp. 11-36
Most models of the term structure show a factor structure, where interest rates depend linearly on some factors. We derive in a Heath, Jarrow and Morton [1992] type framework what the main consequences of this assumption are, especially when volatilities are stochastic. We show that such a...