Statistically consistent term structures have affine geometry

DOI10.1137/23M1611907MaRDI QIDQ6984257zbMATH OpenFDO

Authors Paul Krühner, Shi-Jie Xu

Publication date 14 May 2025

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1611907

zbMATH Keywords

affine geometryelectricity futures modelsfinite-dimensional realizationstatistical consistency

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites work

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• scientific article; zbMATH DE number 2130503 (Why is no real title available?)
• Invariant manifolds for weak solutions to stochastic equations
• On the geometry of the term structure of interest rates
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• Stochastic Partial Differential Equations with Levy Noise

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