Björk, Tomas; Landén, Camilla; Svensson, Lars - Economics Institute for Research (SIR), … - 2002
, forward rates,
state space models, Markovian realizations, in nite dimensional SDEs.
JEL Classi cation: E43, G13
Contents
1 … reader to [7] and [17].
The main object under study in the present paper is a HJM model of the
forward rates, with a … the forward rates, i.e. a deterministic map-
ping
: H R
k
R
+
! R
m
:
The drift vector eld a
0
for y, i.e. a …