The stochastic string model as a unifying theory of the term structure of interest rates

DOI10.1016/J.PHYSA.2016.05.044zbMATH Open1400.91629OpenAlexW3123366411MaRDI QIDQ1619783FDOQ1619783

Authors R. Smith 

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2016.05.044

zbMATH Keywords

principal component analysisterm structurederivatives pricinginfinite-dimensional modelMercer theoremstochastic string

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 3366357 (Why is no real title available?)
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
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• Arbitrage Theory in Continuous Time
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Forecasting the term structure of government bond yields
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
• Interest rate dynamics and consistent forward rate curves
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• Stochastic string models with continuous semimartingales
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(5)

• Valuation of caps and swaptions under a stochastic string model
• A quantum mechanics for interest rate derivatives markets
• Bond market completeness under stochastic strings with distribution-valued strategies
• Stochastic string models with continuous semimartingales
• scientific article; zbMATH DE number 5052224 (Why is no real title available?)

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