HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES

DOI10.1142/9789811246494_0009zbMath1489.91274arXiv1012.1878OpenAlexW3124934528MaRDI QIDQ5072622

Jirô Akahori, Andrea Macrina

Publication date: 29 April 2022

Published in: International Journal of Theoretical and Applied Finance, Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.1878

zbMATH Keywords

Lévy processesheat kernelsinterest rate modelstime-inhomogeneous Markov processespricing kernelsfixed-income assetsinformation-based pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

Related Items (2)

Randomised mixture models for pricing kernels ⋮ HEAT KERNEL MODELS FOR ASSET PRICING

Cites Work

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• Lévy random bridges and the modelling of financial information
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Dam rain and cumulative gain
• AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
• Markov-functional interest rate models

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