IMPLIED KERNEL MODELS

DOI10.1142/S0219024905003153MaRDI QIDQ5696294zbMATH OpenFDO

Authors Peter Weigel

Publication date 18 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

derivative pricingterm structure of interest ratespricing kernelradial and ridge functions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 5187819 (Why is no real title available?)
• An equilibrium characterization of the term structure
• Counterparty risk pricing under correlation between default and interest rates
• Implied interest rate pricing models
• Interpolation of scattered data: distance matrices and conditionally positive definite functions
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Markov-functional interest rate models
• Metric spaces and completely monontone functions
• The Market Model of Interest Rate Dynamics
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Volatility skews and extensions of the Libor market model

Cited in

(3)

• A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
• Randomised mixture models for pricing kernels
• Randomised mixture models for pricing kernels

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