A Heat Kernel Approach to Interest Rate Models
A Heat Kernel Approach to Interest Rate Models
复制标题
利率模型的热核方法
DOI：
10.1007/s13160-014-0147-3
复制
发表时间：
2014
影响因子：
0.9
通讯作者：
Josef Teichmann and Takahiro Tsuchiya
中科院分区：
文献类型：
--
作者：
Jiro Akahori;Yuji Hishida;Josef Teichmann and Takahiro Tsuchiya
我们构建无违约利率模型的精神，著名的马尔可夫函数模型：我们的重点是分析的模型的易处理性和方法的一般性。我们的工作在设置的状态价格密度和构建模型的所谓的传播性质。传播属性可以在所有流行的状态价格密度方法中隐式地找到，特别是热核共享传播属性（由此我们推导出该方法的名称）。作为一个相关的问题，一个有趣的性质的热核提出了，太。
We construct default-free interest rate models in the spirit of the well-known Markov functional models: our focus is analytic tractability of the models and generality of the approach. We work in the setting of state price densities and construct models by means of the so called propagation property. The propagation property can be found implicitly in all of the popular state price density approaches, in particular heat kernels share the propagation property (wherefrom we deduced the name of the approach). As a related matter, an interesting property of heat kernels is presented, too.