An alternative approach on the existence of affine realizations for HJM term structure models. (English) Zbl 1211.60027

Tappe, Stefan

Proc. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 466, No. 2122, 3033-3060 (2010).

Summary: We propose an alternative approach on the existence of affine realizations for Heath, Jarrow and Morton interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insights into the geometry of term structure models.

MSC:

60H30	Applications of stochastic analysis (to PDEs, etc.)
37L55	Infinite-dimensional random dynamical systems; stochastic equations
60H15	Stochastic partial differential equations (aspects of stochastic analysis)
91G30	Interest rates, asset pricing, etc. (stochastic models)

Keywords:

geometry of interest rate models; invariant foliations; affine realizations; Riccati equations

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