Invariance of finite-dimensional realisations of Heath-Jarrow-Morton models under diffusion estimation
Andreas Celary, Paul Krühner
公開日: 2025/9/22
Abstract
We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type.