Polynomial-exponential reproducing kernels are shown to be fully consistent with no-arbitrage discount curves, and kernel ridge regression on these kernels calibrates a low-dimensional affine bond discount model to US Treasury data.
Markov Processes: Charac- terization and Convergence
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Reproducing kernel Hilbert space methods for modelling the discount curve
Polynomial-exponential reproducing kernels are shown to be fully consistent with no-arbitrage discount curves, and kernel ridge regression on these kernels calibrates a low-dimensional affine bond discount model to US Treasury data.