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

DOI10.1016/J.PHYSA.2016.05.044MaRDI QIDQ1619783zbMATH OpenOpenAlexFDO

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

derivatives pricinginfinite-dimensional modelMercer theoremprincipal component analysisstochastic stringterm structure

Mathematics Subject Classification ID

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

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Cites work

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• Characterizing Gaussian Models of the Term Structure of Interest Rates
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• Forecasting the term structure of government bond yields
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• VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE

Cited in

(7)

• Stochastic string models with continuous semimartingales
• 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
• scientific article; zbMATH DE number 5052224 (Why is no real title available?)
• How does liquidity shape the yield curve?
• Revisiting elastic string models of forward interest rates

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