Bhar, Ram; Chiarella, Carl; To, Thuy Duong - Finance Discipline Group, Business School - 2002
Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used...