Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002
volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework …, where the volatil-
ity/di usion term is stochastic in the sense of being driven by a separate
hidden Markov process. Within … Markov process, as well as on the present forward rate
curve. The goal of the paper is to investigate when and how the given …