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Persistent link: https://www.econbiz.de/10000955625
We consider forward rate rate models of HJM type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework we use the previously developed Hilbert space realization...
Persistent link: https://www.econbiz.de/10001664233