Björk, Tomas (contributor) - 2003 - [Elektronische Ressource]
dimensional state space model. We consider interest rate models of Heath-Jarrow-Morton type, where the forward rates are driven by … ; interest rate models ; factor models ; state space models ; Markovian realizations …On the Geometry of Interest Rate Models
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Tomas Bj¨ork
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Department of Finance
Stockholm School of Economics, Box 6501 …