10 citations · 19 across the 10 of their papers we have counts for
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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
Statistically consistent term structures have affine geometry
Paul Krühner, Shijie Xu
This paper is concerned with finite dimensional models for the entire term structure for energy futures. As soon as a finite dimensional set of possible yield curves is chosen, one…