An alternative approach on the existence of affine realizations for HJM term structure models

Abstract

We propose an alternative approach on the existence of affine realizations for HJM 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.

References in corpus (1)

• Hypoellipticity in infinite dimensions and an application in interest rate theory

Cited by in corpus (8)

• Wong-Zakai approximations with convergence rate for stochastic partial differential equations
• Real-world forward rate dynamics with affine realizations
• Existence of affine realizations for Lévy term structure models
• Invariance of closed convex cones for stochastic partial differential equations
• Affine realizations with affine state processes for stochastic partial differential equations
• The geometry of multi-curve interest rate models
• Foundations of the theory of semilinear stochastic partial differential equations
• Existence of affine realizations for stochastic partial differential equations driven by Lévy processes