On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals

Lane P. Hughston and Francesco Mina

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Abstract: In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\mathcal{F}_t)_{t\geq0}$. Let $X$ be a square-integrable $\mathcal{F}_\infty$-measurable random variable, and assume the non-degeneracy condition that for all $t

Date: 2011-07
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