QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

DOI10.1111/j.0960-1627.2004.00203.xzbMath1098.91048OpenAlexW1996706609MaRDI QIDQ4673669

H. Vincent Poor, Li Chen, Damir Filipović

Publication date: 9 May 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://infoscience.epfl.ch/record/148499

zbMATH Keywords

Option pricingQuadratic term strukture modelsRisk free and defaultable ratesTime-homogeneous Markov process

Mathematics Subject Classification ID

Related Items (22)

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS ⋮ Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor ⋮ Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk ⋮ Consistency Problems for Jump‐diffusion Models ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING ⋮ Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model ⋮ DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM ⋮ Quadratic stochastic intensity and prospective mortality tables ⋮ What is the natural scale for a Lévy process in modelling term structure of interest rates? ⋮ A collateralized loan’s loss under a quadratic Gaussian default intensity process ⋮ Polynomial processes and their applications to mathematical finance ⋮ Discrete time Wishart term structure models ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model ⋮ Dyson type formula for pure jump Lévy processes with some applications to finance ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing ⋮ ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE ⋮ POLYNOMIAL TERM STRUCTURE MODELS ⋮ LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION ⋮ Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

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• Affine processes and applications in finance
• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Design and Estimation of Quadratic Term Structure Models *
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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