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On the construction of finite dimensional realizations for nonlinear forward rate models |
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| Authors: | Tomas Björk Camilla Landén |
| Institution: | (1) Department of Finance, Stockholm School of Economics, Box 6501, SE-113 83 Stockholm, Sweden (e-mail: tomas.bjork@hhs.se) , SE;(2) Department of Mathematics, Royal Institute of Technology, SE-100 44 Stockholm, Sweden (e-mail: camilla@math.kth.se) , SE |
| Abstract: | |
| Keywords: | :HJM models factor models forward rates state space models Markovian realizations |
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