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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2509.17875 |
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| _version_ | 1866914158214119424 |
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| author | Celary, Andreas Krühner, Paul |
| author_facet | Celary, Andreas Krühner, Paul |
| contents | We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_17875 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Shape of term structures compatible with flexible choice of diffusion Celary, Andreas Krühner, Paul Mathematical Finance We identify all smooth manifolds of curves for Heath-Jarrow-Morton models that are consistent with any tangential diffusion coefficient. In fact, we show that these manifolds cannot be affine but must be of linear-rational type. |
| title | Shape of term structures compatible with flexible choice of diffusion |
| topic | Mathematical Finance |
| url | https://arxiv.org/abs/2509.17875 |