Björk, Tomas - Economics Institute for Research (SIR), … - 2003
finite dimensional state space model. <p> We consider interest rate models of Heath-Jarrow-Morton type, where the forward …On the Geometry of Interest Rate Models
∗
Tomas Bj¨ork
†
Department of Finance
Stockholm School of Economics, Box 6501 … dimensional state space
model.
We consider interest rate models of Heath-Jarrow-Morton type, where
the forward rates are driven by …