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dc.contributor.authorBjörk, Tomasen
dc.contributor.authorLandén, Camillaen
dc.contributor.authorSvensson, Larsen
dc.date.accessioned2012-03-28T13:11:14Z-
dc.date.available2012-03-28T13:11:14Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x498en
dc.subject.jelE43en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordHJM modelsen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordfactor modelsen
dc.subject.keywordforward ratesen
dc.subject.keywordstate space modelsen
dc.subject.keywordMarkovian realizationsen
dc.subject.keywordinfinite dimensional SDEsen
dc.titleFinite dimensional Markovian realizations for stochastic volatility forward rate models-
dc.typeWorking Paperen
dc.identifier.ppn347285309en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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