LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

DOI10.1111/j.1467-9965.2006.00287.xzbMath1130.91025OpenAlexW1480752078MaRDI QIDQ3423399

Keisuke Hara, Jirô Akahori

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

Related Items (2)

A heat kernel approach to interest rate models ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates?

Cites Work

• Unnamed Item
• Unnamed Item
• Finite dimensional determinants as characteristic functions of quadratic Wiener functionals
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
• QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES
• Stochastic Equations in Infinite Dimensions

This page was built for publication: LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION