Spectral term structure models

2016/03/08 by Si Cheng, Cheng, Si, Michael R. Tehranchi +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1603.02362

arxiv created 2016/03/08 · arxiv updated 2016/03/09

Abstract

This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model, in the same spirit as the Heath-Jarrow-Morton framework.

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