IMPLIED KERNEL MODELS

DOI10.1142/S0219024905003153zbMATH Open1102.91035MaRDI QIDQ5696294FDOQ5696294

Authors: Peter Weigel 

Publication date: 18 October 2005

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

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zbMATH Keywords

derivative pricingterm structure of interest ratespricing kernelradial and ridge functions

Mathematics Subject Classification ID

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

Cites Work

• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Metric spaces and completely monontone functions
• Interpolation of scattered data: distance matrices and conditionally positive definite functions
• The Market Model of Interest Rate Dynamics
• Volatility skews and extensions of the Libor market model
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Title not available (Why is that?)
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Markov-functional interest rate models
• Counterparty risk pricing under correlation between default and interest rates
• Implied interest rate pricing models

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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