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arXiv · 1603.02362

Spectral term structure models

Si Cheng·Michael R. Tehranchi
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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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Si Cheng, Michael R. Tehranchi. 2016-03-08. Spectral term structure models. https://arxiv.org/abs/1603.02362

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