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

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