dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … 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 theory in order provide general necessary and sufficent …