Affine term structure as multi-soliton

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概要

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• In the real market, the term structure of forward rates exhibits some humps. The quadratic Gaussian term structure models or affine term structure models well explain this phenomena. In this research, we give a new insight, where we understand the humps as multi-soliton that are related to KdV solitons.

• 一般社団法人 日本応用数理学会の論文

著者

• Grenier Edouard

  École Nationale Supérieure de Techniques Avancées

• Aihara Hidemi

  Department of Mathematical Sciences, Ritsumeikan University

• Akahori Jirô

  Department of Mathematical Sciences, Ritsumeikan University

関連論文

• Affine term structure as multi-soliton

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