MODULI SPACE FOR GAUSSIAN TERM STRUCTURE MODELS WITH FINITE DIMENSIONAL REALIZATIONS
نویسندگان
چکیده
منابع مشابه
Finite Dimensional Realizations for Term Structure Models driven by Semimartingales
Let f(t, T ) be a term structure model of Heath-Jarrow-Morton type df(t, T ) = α(t, T )dt+ σ(t, T )dXt, driven by a multidimensional semimartingaleX. Our objective is to study the existence of finite dimensional realizations for equations of this kind. Choosing the class of Grigelionis processes (including in particular Lévy processes) as driving processes, we approach this problem from two dif...
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ژورنال
عنوان ژورنال: Taiwanese Journal of Mathematics
سال: 2010
ISSN: 1027-5487
DOI: 10.11650/twjm/1500406034