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LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
Author(s) -
Akahori Jirô,
Hara Keisuke
Publication year - 2006
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.2006.00287.x
Subject(s) - quadratic equation , term (time) , generalization , lift (data mining) , dimension (graph theory) , mathematics , mathematical economics , mathematical analysis , computer science , pure mathematics , geometry , physics , quantum mechanics , data mining
We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models.