Björk, Tomas; Landen, Camilla - Economics Institute for Research (SIR), … - 2000
We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. <p> In a recent paper (to appear in "Mathematical Finance"...</p>