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Invariance of finite-dimensional realisations of Heath-Jarrow-Morton models under diffusion estimation

Published 22 Sep 2025 in q-fin.MF | (2509.17875v1)

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.

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Authors (2)

  1. Andreas Celary 
  2. Paul Krühner 

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