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摘要翻译：
我们根据著名的马尔可夫函数模型的精神构造无违约利率模型：我们的重点是模型的分析可处理性和方法的通用性。我们在状态价格密度的设置中工作，并通过所谓的传播性质来构造模型。传播性质可以在所有流行的状态价格密度方法中隐式地找到，特别是热核具有传播性质（由此我们推导出方法的名称）。作为一个相关的问题，还提出了热核的一个有趣的性质。
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英文标题：
《A Heat Kernel Approach to Interest Rate Models》
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作者：
Jiro Akahori, Yuji Hishida, Josef Teichmann, Takahiro Tsuchiya
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the setting of state price densities and construct models by means of the so called propagation property. The propagation property can be found implicitly in all of the popular state price density approaches, in particular heat kernels share the propagation property (wherefrom we deduced the name of the approach). As a related matter, an interesting property of heat kernels is presented, too.
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PDF链接：
https://arxiv.org/pdf/0910.5033
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