LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

Jiro Akahori and Keisuke Hara

Mathematical Finance, 2006, vol. 16, issue 4, 635-645

Abstract: We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models.

Date: 2006
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