BJÖRK, TOMAS; BLIX, MAGNUS; LANDÉN, CAMILLA - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 281-314
We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...