Invariance of finite-dimensional realisations of Heath-Jarrow-Morton models under diffusion estimation

Andreas Celary and Paul Kr\"uhner

Papers from arXiv.org

Abstract: We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type.

Date: 2025-09
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