Linear-quadratic term structure models – Toward the understanding of jumps in interest rates

Linear–quadratic term structure models for negative euro area yields

Economics Letters ◽

10.1016/j.econlet.2017.03.029 ◽

2017 ◽

Vol 155 ◽

pp. 149-153

Author(s):

Marco Realdon ◽

Wachira Boonyanet

Keyword(s):

Term Structure ◽

Euro Area ◽

Quadratic Term ◽

Linear Quadratic ◽

Term Structure Models ◽

Quadratic Term Structure Models: Analysis and Performance

10.2139/ssrn.1494243 ◽

2009 ◽

Cited By ~ 2

Author(s):

Grégoire Leblon ◽

Franck Moraux

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure ◽

And Performance

Pseudo-Diffusions and Quadratic Term Structure Models

10.2139/ssrn.520044 ◽

2004 ◽

Author(s):

Sergei Z. Levendorskii

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Wishart Quadratic Term Structure Models

10.2139/ssrn.757307 ◽

2003 ◽

Cited By ~ 56

Author(s):

Christian Gourieroux ◽

Razvan Sufana

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Applied Financial Economics ◽

10.1080/09603107.2014.925062 ◽

2014 ◽

Vol 24 (21) ◽

pp. 1361-1366 ◽

Cited By ~ 2

Author(s):

Raphaël Homayoun Boroumand ◽

Stéphane Goutte ◽

Thomas Porcher

Keyword(s):

Interest Rates ◽

Term Structure ◽

Regime Switching ◽

Quadratic Term ◽

Regime Switching Model ◽

Switching Model ◽

On Errors and Bias of Fourier Transform Methods in Quadratic Term Structure Models

10.2139/ssrn.874835 ◽

2006 ◽

Author(s):

Nina Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Fourier Transform ◽

Term Structure ◽

Quadratic Term ◽

Transform Methods ◽

Term Structure Models ◽

Fourier Transform Methods ◽

Design and Estimation of Quadratic Term Structure Models *

Review of Finance ◽

10.1023/a:1022502724886 ◽

2003 ◽

Vol 7 (1) ◽

pp. 47-73 ◽

Cited By ~ 65

Author(s):

Markus Leippold ◽

Liuren Wu

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

Mathematical Finance ◽

10.1111/j.1467-9965.2006.00287.x ◽

2006 ◽

Vol 16 (4) ◽

pp. 635-645 ◽

Cited By ~ 2

Author(s):

Jirô Akahori ◽

Keisuke Hara

Keyword(s):

Term Structure ◽

Infinite Dimension ◽

Quadratic Term ◽

Term Structure Models ◽

The Eigenfunction Expansion Method in Multi-factor Quadratic Term Structure Models

10.2139/ssrn.874839 ◽

2006 ◽

Cited By ~ 1

Author(s):

Nina Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Term Structure ◽

Eigenfunction Expansion ◽

Expansion Method ◽

Quadratic Term ◽

Term Structure Models ◽

Eigenfunction Expansion Method ◽

PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

Mathematical Finance ◽

10.1111/j.1467-9965.2005.00226.x ◽

2005 ◽

Vol 15 (3) ◽

pp. 393-424 ◽

Cited By ~ 15

Author(s):

Sergei Levendorskii

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽