HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES

DOI10.1142/9789811246494_0009zbMath1489.91274arXiv1012.1878MaRDI QIDQ5072622

Jirô Akahori, Andrea Macrina

Publication date: 29 April 2022

Published in: International Journal of Theoretical and Applied Finance, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.1878

zbMATH Keywords

Lévy processes; heat kernels; interest rate models; time-inhomogeneous Markov processes; pricing kernels; fixed-income assets; information-based pricing

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60J25: Continuous-time Markov processes on general state spaces

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

35K08: Heat kernel