### Financial Mathematics Seminar

Thursday, September 30

3:35 pm

106 Love

#### Invariant measures for HJM models

*Michael Tehranchi, University of Texas at Austin*

This talk analyzes the mean-reverting behavior of time-homogeneous

Heath-Jarrow-Morton (HJM) forward rate models in the weighted Sobolev

space H_w. An explicit sufficient condition is given under which

invariant measures exist for the HJM dynamics. In particular, every HJM

model with constant volatility and market price of risk has a family of

invariant measures parametrized by the distribution of the long rate.