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We consider interest rate models where the forward rates are allowed to be driven by a multidimensional Wiener process as well as by a marked point process. Assuming a deterministic volatility structure, and using ideas from systems and control theory, we investigate when the input-output map generated by such a model can be realized by a finite dimensional… (More)

We consider interest rate models of Heath-Jarrow-Morton type where the forward rates are driven by a multidimensional Wiener process, and where the volatility structure is allowed to be a smooth functional of the present forward rate curve. In a recent paper (to appear in Mathematical Finance) Björk and Svensson give necessary and sufficient conditions for… (More)

In some recent papers (Elliott and van der Hoek, 2003; Hu and Øksendal, 2003) a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model (see also Benth, 2003; Biagini et al., 2002; Biagini and Øksendal, 2004). Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by… (More)

We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly.… (More)

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