Ab initio yield curve dynamics
数据分析、统计与概率
2008-12-02 v1 统计力学
综合金融
摘要
We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices. More significantly, the form of the resulting equation explains the success of the Nelson Siegel approach to fitting static yield curves and the empirically observed modal structure of yield curves. A practical numerical implementation of this equation of motion is found by using the Karhunen-Loeve expansion and Galerkin's method to formulate a reduced-order model of yield curve dynamics.
引用
@article{arxiv.physics/0507098,
title = {Ab initio yield curve dynamics},
author = {Raymond J. Hawkins and B. Roy Frieden and Joseph L. D'Anna},
journal= {arXiv preprint arXiv:physics/0507098},
year = {2008}
}
备注
11 LateX pages, 2 figures