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

DOI10.1016/j.physa.2016.05.044zbMath1400.91629OpenAlexW3123366411MaRDI QIDQ1619783

R. Smith

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2016.05.044

zbMATH Keywords

principal component analysisderivatives pricingterm structureinfinite-dimensional modelMercer theoremstochastic string

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Valuation of caps and swaptions under a stochastic string model ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ A quantum mechanics for interest rate derivatives markets

Cites Work

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