英文标题：
《Approximation of forward curve models in commodity markets with
arbitrage-free finite dimensional models》
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作者：
Fred Espen Benth, Paul Kr\\\"uhner
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最新提交年份：
2015
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英文摘要：
In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state space. Moreover, we recover a closed form representation of the forward price dynamics in the approximation models and derive the rate of convergence uniformly over an interval of time to maturity to the true dynamics under certain additional smoothness conditions. In the Markovian case we can strengthen the convergence to be uniform over time as well. Our results are based on the construction of a convenient Riesz basis on the state space of the term structure dynamics.
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中文摘要：
在本文中，我们展示了如何用具有有限维状态空间的无套利模型来近似商品市场远期价格的Heath-Jarrow-Morton动力学。此外，我们在近似模型中恢复了远期价格动态的封闭形式表示，并在某些额外的光滑性条件下，导出了在一段时间间隔内到到期时的一致收敛速度。在马尔可夫的情况下，我们也可以加强收敛性，使其随时间的推移保持一致。我们的结果基于在术语结构动力学的状态空间上构造方便的Riesz基。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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