problems to be discussed are as follows. 1. When is a given forward rate model consistent with a given family of forward rate … curves? 2. When can the inherently infinite dimensional forward rate process be realized by means of a Markovian finite …

rate curves? <p> 2. When can the inherently infinite dimensional forward rate process be realized by means of a Markovian … problems to be discussed are as follows. <p> 1. When is a given forward rate model consistent with a given family of forward …: HJM models, Forward rate curves, interest rate models, factor models, state space models, Markovian realizations. ∗ SSE …

falling forward rate curves by the models considered. We derive valuation formulas for these contingent claims in the …

forward rate curves and the dynamics of a given interest rate model. Consistency in this context means that the interest rate … model will produce forward rate curves belonging to the parameterized family. The interest rate model may be driven by a …