Björk, Tomas (contributor) - 2003 - [Elektronische Ressource]
On the Geometry of Interest Rate Models
∗
Tomas Bj¨ork
†
Department of Finance
Stockholm School of Economics, Box 6501 … state variable
Z
0
by Z, we may use (43)-(45) to obtain the realization
q
t
(x)=e
−ax
Z
t
, (50)
dZ
t
= −aZ
t
dt +dW
t
. (51 … the infinite dimensional r-variable, and
a function of the real variable x. An alternative, and more profitable, way of …