SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM

DOI10.1111/J.1467-9965.2002.TB00128.XMaRDI QIDQ4419299zbMATH OpenOpenAlexFDO

Authors Damir Filipović

Publication date 13 August 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://infoscience.epfl.ch/record/148505

zbMATH Keywords

affine and quadratic term structuresforward curvesinterest rate models

Mathematics Subject Classification ID

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Cites work

• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• A general characterization of one factor affine term structure models
• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(9)

• The dynamics of implied volatilities: a common principal components approach
• Efficient calibration of trinomial trees for one-factor short rate models
• Arbitrage-free multifactor term structure models: a theory based on stochastic control
• LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
• Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
• Polynomial term structure models
• Consistency Problems for Jump‐diffusion Models

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