On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models

• 1 April 2001
• journal article
• Published by Wiley in Mathematical Finance
• Vol. 11  (2) , 205-243
• https://doi.org/10.1111/1467-9965.00113

Abstract

Keywords

• HJM MODELS
• FORWARD RATE CURVES
• INTEREST RATE MODELS
• FACTOR MODELS
• STATE SPACE MODELS
• MARKOVIAN REALIZATIONS

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)
• Version 1, RePEc (Unconfirmed version)