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Reproducing kernel Hilbert space methods for modelling the discount curve
Andreas Celary, Paul Kr\"uhner, Zehra Eksi
https://arxiv.org/abs/2506.03342 …

Reproducing kernel Hilbert space methods for modelling the discount curve
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of no-arbitrage, the admissible discount curves take the form of polynomial, exponential functions. We introduce reproducing kernels that are admissible under no-arbitrage as a tractable regression basis for the estimation problem in calibrating the model to ma…