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On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
interest rate models term structure dynamics Heath-Jarrow-Morton framework pricing kernels Wiener chaos Flesaker-Hughston models potentials
2011/7/19
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration (Ft)t0. Let X be a square-integrable F1-measur...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Bernstein processes, Euclidean Quantum Mechanics and Interest Rate Models
Bernstein processes Euclidean Quantum Mechanics Interest Rate Models
2010/11/3
We give an exposition, following joint works with J.-C. Zambrini, of the link between Euclidean Quantum Mechanics, Bernstein processes and isovectors for the heat equation. A new application to Mathem...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...