Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002
under study in this paper is a general forward rate model of
Heath-Jarrow-Morton type (see [19]) with \stochastic volatility …, inherently
in nite dimensional, stochastic volatility forward rate model, admits a nite
dimensional Markovian realization in … forward rate model (where the drift is uniquely determined by the volatility
2
through the HJM drift condition) the …