EconPapers    
Economics at your fingertips  
 

Reproducing kernel Hilbert space methods for modelling the discount curve

Andreas Celary, Paul Kr\"uhner and Zehra Eksi

Papers from arXiv.org

Abstract: 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 realizations in the HJM framework, under suitable notions of no-arbitrage, the admissible discount curves take the form of polynomial, exponential functions. We introduce reproducing kernels that are admissible under no-arbitrage as a tractable regression basis for the estimation problem in calibrating the model to market data. We provide a thorough numerical analysis using real-world treasury data.

Date: 2025-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2506.03342 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2506.03342

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2025-06-28
Handle: RePEc:arx:papers:2506.03342