Hughston, Lane; Rafailidis, Avraam - In: Finance and Stochastics 9 (2005) 1, pp. 43-65
This paper presents a new approach to interest rate dynamics. We consider the general family of arbitrage-free positive interest rate models, valid on all time horizons, in the case of a discount bond system driven by a Brownian motion of one or more dimensions. We show that the space of such...
