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