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…
math.PR2024
Explicit local density bounds for Itô-processes with irregular drift
Paul Krühner, Shijie Xu
We find explicit upper bounds for the density of marginals of continuous diffusions where we assume that the diffusion coefficient is constant and the drift is solely assumed to be…