3 papers
q-fin.MF2025
Shape of term structures compatible with flexible choice of diffusion
Andreas Celary, Paul Krühner
We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds canno…
q-fin.MF2025
Reproducing kernel Hilbert space methods for modelling the discount curve
Andreas Celary, Paul Krühner, Zehra Eksi
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional…
q-fin.MF2023
Regime-switching affine term structures
Andreas Celary, Paul Eisenberg, Zehra Eksi
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our prima…