Finite-dimensional Markovian realizations for stochastic volatility forward-rate models

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 460, Issue 2041, 2004, Pages 53-83

  Björk, Tomas ^a   Landén, Camilla ^b   Svensson, Lars ^b  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Factor models; Forward rates; HJM models; Markovian realizations; State space models; Stochastic volatility

Indexed keywords

CONFERENCE PAPER; FINITE ELEMENT ANALYSIS; MATHEMATICAL ANALYSIS; MATHEMATICAL MODEL; STOCHASTIC MODEL; THEORETICAL MODEL;

EID: 12144289724     PISSN: 13645021     EISSN: 14712946     Source Type: Journal    
DOI: 10.1098/rspa.2003.1235     Document Type: Conference Paper

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