Spectral term structure models
Probability
2016-03-09 v1
Abstract
This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model, in the same spirit as the Heath-Jarrow-Morton framework.
Keywords
Cite
@article{arxiv.1603.02362,
title = {Spectral term structure models},
author = {Si Cheng and Michael R. Tehranchi},
journal= {arXiv preprint arXiv:1603.02362},
year = {2016}
}