Inui, Koji; Kijima, Masaaki - In: Journal of Financial and Quantitative Analysis 33 (1998) 03, pp. 423-440
We consider the general <italic>n</italic>-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2<italic>n</italic> state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...
