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

DOI10.1098/rspa.2003.1235zbMath1087.91021OpenAlexW2052717683MaRDI QIDQ3043426

No author found.

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0498.pdf

zbMATH Keywords

stochastic volatilityforward ratesHeath-Jarrow-Morton modelsfinite-dimensional realizations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65)

Related Items (4)

In memoriam: Tomas Björk (1947--2021). On his career and beyond ⋮ ON FINITE DIMENSIONAL REALIZATIONS OF TWO-COUNTRY INTEREST RATE MODELS ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model ⋮ CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS

This page was built for publication: Finite–dimensional Markovian realizations for stochastic volatility forward–rate models