On Partial Differential Equations Related to Term Structure Models
نویسنده
چکیده
Recently a reparametrized version of HJM model has been proposed which leads naturally to the innnite dimensional Markov process of forward curves. In this paper we discuss some consequences of the Markovian structure of forward rate dynamics. In particular, we obtain price of the swaption as a solution to the innnite dimensional "Black-Scholes" partial diierential equation.
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