{"paper":{"title":"On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"q-fin.GN","authors_text":"Francesco Mina, Lane P. Hughston","submitted_at":"2011-07-17T12:08:19Z","abstract_excerpt":"In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\\mathcal{F}_t)_{t\\geq0}$. Let $X$ be a square-integrable $\\mathcal{F}_\\infty$-measurable random variable, and assume the non-degeneracy condition that for all $t<\\infty$ the random variable $X$ is not $\\mathcal{F}_t$-measurable. Let ${\\sigma_t}$ denote the integrand appearing in the representation of $X$ as a stochastic integral, write $\\pi_t$ for the conditional variance of $X$ at time $t$, and set $r_t = \\sigma^2_t / \\pi_t$. Then $\\pi_t$ i"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1107.3293","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}