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

Recommendations

• Stochastic string models with continuous semimartingales
• An arbitrage theory of the term structure of interest rates
• scientific article; zbMATH DE number 953313
• Lognormality of rates and term structure models
• An elementary introduction to stochastic interest rate modeling.

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)

Cites Work

• Forecasting the term structure of government bond yields
• Interest rate dynamics and consistent forward rate curves
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• Stochastic Equations in Infinite Dimensions
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Semimartingales: A course on stochastic processes
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• An analytically tractable interest rate model with humped volatility
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Mercer theorem for RKHS on noncompact sets
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
• Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
• Title not available (Why is that?)
• HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
• Shape factors and cross-sectional risk
• A characterization of hedging portfolios for interest rate contingent claims.
• Stochastic string models with continuous semimartingales

Cited In (4)

• Bond market completeness under stochastic strings with distribution-valued strategies
• Title not available (Why is that?)
• Valuation of caps and swaptions under a stochastic string model
• A quantum mechanics for interest rate derivatives markets

This page was built for publication: The stochastic string model as a unifying theory of the term structure of interest rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1619783)