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SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56361
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Björk, Tomas | | en_US |
| dc.contributor.author | | Landén, Camilla | | en_US |
| dc.contributor.author | | Svensson, Lars | | en_US |
| dc.date.accessioned | | 2012-03-28T13:11:14Z | | - |
| dc.date.available | | 2012-03-28T13:11:14Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56361 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Ekonomiska Forskningsinst. Stockholm | | en_US |
| dc.relation.ispartofseries | | SSE/EFI Working Paper Series in Economics and Finance 498 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | HJM models | | en_US |
| dc.subject.keyword | | stochastic volatility | | en_US |
| dc.subject.keyword | | factor models | | en_US |
| dc.subject.keyword | | forward rates | | en_US |
| dc.subject.keyword | | state space models | | en_US |
| dc.subject.keyword | | Markovian realizations | | en_US |
| dc.subject.keyword | | infinite dimensional SDEs | | en_US |
| dc.title | | Finite dimensional Markovian realizations for stochastic volatility forward rate models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 347285309 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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