The stochastic string model as a unifying theory of the term structure of interest rates

被引：5

作者：

Bueno-Guerrero, Alberto ^{[1
]}

Moreno, Manuel ^{[2
]}

Navas, Javier F. ^{[3
]}

机构：

[1] IES Francisco Ayala, Avda Francisco Ayala S-N, Granada 18014, Spain

[2] Univ Castilla La Mancha, Dept Econ Anal & Finance, Cobertizo San Pedro Martir S-N, Toledo 45071, Spain

[3] Univ Pablo Olavide, Dept Financial Econ & Accounting, Ctra Utrera,Km 1, Seville 41013, Spain

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 461卷

关键词：

Stochastic string; Infinite-dimensional model; Term structure; Mercer theorem; Principal component analysis; Derivatives pricing; INTEREST-RATE DYNAMICS; IMPLIED VOLATILITY FUNCTIONS; CONTINGENT CLAIMS; HUMPED VOLATILITY; RATE CURVES; HJM MODELS; CONSISTENT; VALUATION; SWAPTIONS; CAPS;

D O I：

10.1016/j.physa.2016.05.044

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We present the stochastic string model of Santa-Clara and Sornette (2001), as reformulated by Bueno-Guerrero et al. (2015), as a unifying theory of the continuous-time modeling of the term structure of interest rates. We provide several new results, such as: (a) an orthogonality condition for the volatilities in the Heath, Jarrow, and Morton (1992) (HJM) model, (b) the interpretation of multi-factor HJM models as approximations to a full infinite-dimensional model, (c) a result of consistency based on Hilbert spaces, and (d) a theorem for option valuation. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：217 / 237

页数：21

共 50 条

[1] A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
Grasselli, Martino
Schlogl, Erik
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2020, 114
[2] A Theory of Exchange Rates and the Term Structure of Interest Rates
Lim, Hyoung-Seok
Ogaki, Masao
[J]. REVIEW OF DEVELOPMENT ECONOMICS, 2013, 17 (01) : 74 - 87
[3] MODEL OF TERM STRUCTURE OF INTEREST RATES
BIERWAG, GO
GROVE, MA
[J]. REVIEW OF ECONOMICS AND STATISTICS, 1967, 49 (01) : 50 - 62
[4] AN ARBITRAGE THEORY OF THE TERM STRUCTURE OF INTEREST RATES
Miltersen, Kristian R.
[J]. ANNALS OF APPLIED PROBABILITY, 1994, 4 (04): : 953 - 967
[5] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES
COX, JC
INGERSOLL, JE
ROSS, SA
[J]. ECONOMETRICA, 1985, 53 (02) : 385 - 407
[6] A Convergence Model of the Term Structure of Interest Rates
Ajevskis, Viktors
Vitola, Kristine
[J]. REVIEW OF FINANCE, 2010, 14 (04) : 727 - 747
[7] A nonlinear model of the term structure of interest rates
Tice, J
Webber, N
[J]. MATHEMATICAL FINANCE, 1997, 7 (02) : 177 - 209
[8] A term structure model for dividends and interest rates
Filipovic, Damir
Willems, Sander
[J]. MATHEMATICAL FINANCE, 2020, 30 (04) : 1461 - 1496
[9] STOCHASTIC TRENDS IN CONSUMPTION AND THE TERM STRUCTURE OF INTEREST-RATES
FISHER, LA
RICHARDSON, PA
[J]. JOURNAL OF MACROECONOMICS, 1992, 14 (02) : 289 - 304
[10] A THEORY OF THE NOMINAL TERM STRUCTURE OF INTEREST-RATES
CONSTANTINIDES, GM
[J]. REVIEW OF FINANCIAL STUDIES, 1992, 5 (04): : 531 - 552

← 1 2 3 4 5 →