Shape of term structures compatible with flexible choice of diffusion
Mathematical Finance
2025-11-17 v2
Abstract
We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type.
Cite
@article{arxiv.2509.17875,
title = {Shape of term structures compatible with flexible choice of diffusion},
author = {Andreas Celary and Paul Krühner},
journal= {arXiv preprint arXiv:2509.17875},
year = {2025}
}