@techreport{Bjork2002Finite,
abstract = {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.},
address = {Stockholm},
author = {Tomas Bj\"{o}rk and Camilla Land\'{e}n and Lars Svensson},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E43; G13; 330; HJM models; stochastic volatility; factor models; forward rates; state space models; Markovian realizations; infinite dimensional SDEs},
language = {eng},
number = {498},
publisher = {Ekonomiska Forskningsinst.},
title = {Finite dimensional Markovian realizations for stochastic volatility forward rate models},
type = {SSE/EFI Working Paper Series in Economics and Finance},
url = {http://hdl.handle.net/10419/56361},
year = {2002}
}
