Chiarella, Carl; Kwon, Oh Kang - In: Finance and Stochastics 5 (2001) 2, pp. 237-257
In this paper, a class of forward rate dependent Markovian transformations of the Heath-Jarrow-Morton [16] term structure model are obtained by considering volatility processes that are solutions of linear ordinary differential equations. These transformations generalise the Markovian systems...