Statistically Consistent Term Structures Have Affine Geometry

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Originalsprache	Englisch
Seiten (von - bis)	221
Seitenumfang	242
Fachzeitschrift	SIAM Journal on Financial Mathematics
Jahrgang	16
Ausgabenummer	1
DOIs	https://doi.org/10.1137/23M1611907
Publikationsstatus	Veröffentlicht - 2025

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title = "Statistically Consistent Term Structures Have Affine Geometry",

keywords = "Electricity futures model, affine geometry",

author = "Paul Kr{\"u}hner and Shijie Xu",

year = "2025",

doi = "10.1137/23M1611907",

language = "English",

volume = "16",

pages = "221",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics Publications",

number = "1",

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T1 - Statistically Consistent Term Structures Have Affine Geometry

AU - Krühner, Paul

AU - Xu, Shijie

PY - 2025

Y1 - 2025

KW - Electricity futures model

KW - affine geometry

U2 - 10.1137/23M1611907

DO - 10.1137/23M1611907

M3 - Journal article

SN - 1945-497X

VL - 16

SP - 221

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

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