We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...

We investigate the term structure of forward and futures prices for models where the price processes are allowed to be driven by a general marked point process as well as by a multidimensional Wiener process. Within an infinite dimensional HJM-type model for futures and forwards we study the...

Classical phenomenological model of diffusion in fluids is based on the concept of the mean-free-path, λ, and density distribution, n(x,t), as a function of coordinate, x, and time, t. Under the assumption that(1)n(x-λ,t)-n(x+λ,t)≈-2λ(∂n/∂x),this model results in the classical...