Björk, Tomas; Blix, Magnus; Landen, Camilla - Economics Institute for Research (SIR), … - 2005
We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an … arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite … dimensional futures price process can be realized by a finite dimensional Markovian state space model, and we give general …