Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/56361 
Erscheinungsjahr: 
2002
Schriftenreihe/Nr.: 
SSE/EFI Working Paper Series in Economics and Finance No. 498
Verlag: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
Zusammenfassung: 
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.
Schlagwörter: 
HJM models
stochastic volatility
factor models
forward rates
state space models
Markovian realizations
infinite dimensional SDEs
JEL: 
E43
G13
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
307.66 kB





Publikationen in EconStor sind urheberrechtlich geschützt.