Björk, Tomas; Landén, Camilla; Svensson, Lars - Economics Institute for Research (SIR), … - 2002
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. <p> Within this framework we use the previously developed Hilbert space...</p>