Explicit Solutions of Quadratic FBSDEs Arising From Quadratic Term Structure Models

Stochastic Analysis and Applications ◽

10.1080/07362994.2015.1009548 ◽

2015 ◽

Vol 33 (3) ◽

pp. 464-492 ◽

Author(s):

Cody Hyndman ◽

Xinghua Zhou

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Explicit Solutions ◽

Term Structure Models ◽

Quadratic Term Structure

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Explicit Solutions of Quadratic FBSDEs Arising from Quadratic Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.2506794 ◽

2014 ◽

Author(s):

Cody Blaine Hyndman ◽

Xinghua Zhou

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Explicit Solutions ◽

Term Structure Models ◽

Quadratic Term Structure

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Quadratic Term Structure Models: Analysis and Performance

SSRN Electronic Journal ◽

10.2139/ssrn.1494243 ◽

2009 ◽

Author(s):

Grégoire Leblon ◽

Franck Moraux

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure ◽

And Performance

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Pseudo-Diffusions and Quadratic Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.520044 ◽

2004 ◽

Author(s):

Sergei Z. Levendorskii

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure

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Wishart Quadratic Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.757307 ◽

2003 ◽

Author(s):

Christian Gourieroux ◽

Razvan Sufana

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure

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

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2008.08.018 ◽

2009 ◽

Vol 33 (3) ◽

pp. 473-485 ◽

Author(s):

George Jiang ◽

Shu Yan

Keyword(s):

Interest Rates ◽

Term Structure ◽

Quadratic Term ◽

Linear Quadratic ◽

Term Structure Models ◽

Quadratic Term Structure

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

SSRN Electronic Journal ◽

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 ◽

Quadratic Term Structure

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Design and Estimation of Quadratic Term Structure Models *

Review of Finance ◽

10.1023/a:1022502724886 ◽

2003 ◽

Vol 7 (1) ◽

pp. 47-73 ◽

Author(s):

Markus Leippold ◽

Liuren Wu

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure

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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 ◽

Author(s):

Jirô Akahori ◽

Keisuke Hara

Keyword(s):

Term Structure ◽

Infinite Dimension ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure

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

SSRN Electronic Journal ◽

10.2139/ssrn.874839 ◽

2006 ◽

Author(s):

Nina Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Term Structure ◽

Eigenfunction Expansion ◽

Expansion Method ◽

Quadratic Term ◽

Term Structure Models ◽

Eigenfunction Expansion Method ◽

Quadratic Term Structure

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PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

Mathematical Finance ◽

10.1111/j.1467-9965.2005.00226.x ◽

2005 ◽

Vol 15 (3) ◽

pp. 393-424 ◽

Author(s):

Sergei Levendorskii

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Quadratic Term Structure

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