An alternative approach on the existence of affine realizations for HJM term structure models

Stefan Tappe

Papers from arXiv.org

Abstract: We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insights into the geometry of term structure models.

Date: 2019-07
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Published in Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 466(2122):3033-3060, 2010

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1907.03256

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