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Condition for Multi-factor Markovian HJM
For the short rate to be Markovian, the often cited result from Carverhill (1992 or 1994) is for forward rate vol of the formv(t,T) = g(t)h(T)It is sometimes claimed that it also works for the multi-factor case, i.e. as long asv_i(t,T) = g_i (t) h_i (T)then the short rate is Markovian. Is this correct? Some notes from Claus Munk (U. of Southern Denmark) claim that the condition should bev_i(t,T) = g_i(t) h(T)(and this seems correct....). would be very grateful if someone could point me to any other reference on the topic.