Ab initio yield curve dynamics

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dc.creatorHawkins, Raymond J.
dc.creatorFrieden, B. Roy
dc.creatorD'Anna, Joseph L.
dc.date2005-07-13
dc.date.accessioned2026-07-07T12:07:35Z
dc.date.available2026-07-07T12:07:35Z
dc.descriptionWe derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices. More significantly, the form of the resulting equation explains the success of the Nelson Siegel approach to fitting static yield curves and the empirically observed modal structure of yield curves. A practical numerical implementation of this equation of motion is found by using the Karhunen-Loeve expansion and Galerkin's method to formulate a reduced-order model of yield curve dynamics.
dc.description11 LateX pages, 2 figures
dc.identifierhttps://arxiv.org/abs/physics/0507098
dc.identifierhttp://arxiv.org/abs/physics/0507098
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209023
dc.subjectData Analysis, Statistics and Probability
dc.subjectStatistical Mechanics
dc.subjectGeneral Finance
dc.titleAb initio yield curve dynamics
dc.typetext

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