JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
Articles
Affine term structure as multi-soliton
Hidemi AiharaJirô AkahoriEdouard Grenier
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2014 Volume 6 Pages 17-20

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Abstract
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.
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© 2014, The Japan Society for Industrial and Applied Mathematics
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