LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

DOI10.1111/J.1467-9965.2006.00287.XMaRDI QIDQ3423399zbMATH OpenOpenAlexFDO

Authors Jirô Akahori, Keisuke Hara

Publication date 22 February 2007

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2006.00287.x

zbMATH Keywords

Hilbert-Schmidt operatorsquadratic Wiener functionalWiener-Ito expansionstate price density approach

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1055921 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Finite dimensional determinants as characteristic functions of quadratic Wiener functionals
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
• Stochastic Equations in Infinite Dimensions
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(4)

• A heat kernel approach to interest rate models
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

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