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A Nonparametric Stochastic Dynamics Model of Interest Rates
- Authors: Lapshin VA1
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Affiliations:
- State University - Higher School of Economics
- Issue: No 4 (2009)
- Pages: 25-37
- Section: Articles
- URL: https://journals.rudn.ru/miph/article/view/8476
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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.
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About the authors
V A Lapshin
State University - Higher School of EconomicsЭкономический факультет; Государственный университет - Высшая школа экономики; State University - Higher School of Economics
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