A heat kernel approach to interest rate models

DOI10.1007/s13160-014-0147-3zbMath1304.35313arXiv0910.5033OpenAlexW1583519071MaRDI QIDQ403855

Jirô Akahori, Yuji Hishida, Takahiro Tsuchiya, Josef Teichmann

Publication date: 29 August 2014

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.5033

zbMATH Keywords

state price densityMarkov-functional

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Heat kernel (35K08)

Related Items (6)

THE AFFINE RATIONAL POTENTIAL MODEL ⋮ Randomised mixture models for pricing kernels ⋮ HEAT KERNEL MODELS FOR ASSET PRICING ⋮ Generalizations of Ho-Lee's binomial interest rate model II: randomization ⋮ POLYNOMIAL TERM STRUCTURE MODELS ⋮ Rational multi-curve models with counterparty-risk valuation adjustments

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• Wiener chaos and the Cox–Ingersoll–Ross model
• Markov-functional interest rate models

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