Affine term structure as multi-soliton
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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.
- JSIAM Letters
JSIAM Letters 6(0), 17-20, 2014
The Japan Society for Industrial and Applied Mathematics