Gaspar, Raquel M. - Economics Institute for Research (SIR), … - 2004
In this paper we study a fairly general Wiener driven model for the term structure of forward prices. The model, under … is an infinite SDE for the term structure of forward prices on some specified underlying asset driven by the same W. We … are primarily interested in the forward prices. However, since for any fixed maturity, T, the forward price process is a …