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math.PR2005★ 29 cited
Hypoellipticity in infinite dimensions and an application in interest rate theory
Fabrice Baudoin, Josef Teichmann
We apply methods from Malliavin calculus to prove an infinite-dimensional version of Hormander's theorem for stochastic evolution equations in the spirit of Da Prato-Zabczyk. This…
math.PR2002
On Finite-dimensional Term Structure models
Damir Filipovic, Josef Teichmann
In this paper we provide the characterization of all finite-dimensional Heath--Jarrow--Morton models that admit arbitrary initial yield curves. It is well known that affine term st…