A Nonparametric Stochastic Dynamics Model of Interest Rates

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Abstract


We propose a new arbitrage-free nonparametric stochastic dynamics model of interest rates within the Heath-Jarrow-Morton framework using infinite dimensional stochastic calculus. The model yields strictly positive spot forward rates, allows for observation errors and has a straightforward algorithmic implementation.

About the authors

V A Lapshin

State University - Higher School of Economics

Экономический факультет; Государственный университет - Высшая школа экономики; State University - Higher School of Economics

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Copyright (c) 2009 Лапшин В.А.

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