IMPLIED KERNEL MODELS

DOI10.1142/S0219024905003153zbMath1102.91035MaRDI QIDQ5696294

Peter Weigel

Publication date: 18 October 2005

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

zbMATH Keywords

term structure of interest ratesderivative pricingpricing kernelradial and ridge functions

Mathematics Subject Classification ID

Cites Work

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• Interpolation of scattered data: distance matrices and conditionally positive definite functions
• Implied interest rate pricing models
• Metric spaces and completely monontone functions
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• The Market Model of Interest Rate Dynamics
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
• Volatility skews and extensions of the Libor market model
• An equilibrium characterization of the term structure
• Markov-functional interest rate models

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