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dc.contributor.authorBjörk, Tomasen_US
dc.contributor.authorLandén, Camillaen_US
dc.contributor.authorSvensson, Larsen_US
dc.date.accessioned2012-03-28T13:11:14Z-
dc.date.available2012-03-28T13:11:14Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/56361-
dc.description.abstractWe 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.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 498en_US
dc.subject.jelE43en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordHJM modelsen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordfactor modelsen_US
dc.subject.keywordforward ratesen_US
dc.subject.keywordstate space modelsen_US
dc.subject.keywordMarkovian realizationsen_US
dc.subject.keywordinfinite dimensional SDEsen_US
dc.titleFinite dimensional Markovian realizations for stochastic volatility forward rate modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn347285309en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_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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