Gaspar, Raquel M. - Economics Institute for Research (SIR), … - 2004
, term structures, state space models, Markovian realizations, HJM
models.
JEL Classification: E43, G13
∗
I thank my …
, Markovian realizations
of forward prices are generated only by the volatility of forward prices γ.
In the next example, and to …