Arbeitspapier
Finite dimensional Markovian realizations for stochastic volatility forward rate models
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. Within this framework we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate the theory by analyzing a number of concrete examples.
- Language
-
Englisch
- Bibliographic citation
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 498
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
HJM models
stochastic volatility
factor models
forward rates
state space models
Markovian realizations
infinite dimensional SDEs
- Event
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Geistige Schöpfung
- (who)
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Björk, Tomas
Landén, Camilla
Svensson, Lars
- Event
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Veröffentlichung
- (who)
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Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Björk, Tomas
- Landén, Camilla
- Svensson, Lars
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2002
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