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

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

ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS

2007 ◽  
Vol 10 (02) ◽  
pp. 273-306 ◽  
Author(s):  
NINA BOYARCHENKO ◽  
SERGEI LEVENDORSKIǏ
Keyword(s):  
Fourier Transform ◽  
Term Structure ◽  
Approximate Formula ◽  
Quadratic Term ◽  
Transform Method ◽  
Term Structure Models ◽  
Fourier Transform Methods ◽  
Computational Errors ◽  
Quadratic Term Structure ◽  
The Fourier Transform

We analyze and compare the performance of the Fourier transform method in affine and quadratic term structure models. We explain why the method of the reduction to FFT in dimension 1 is efficient for ATSMs of type A0(n), but may lead to sizable errors for QTSMs unless computational errors are taken into account properly. We suggest a certain improvement and generalization which make FFT more accurate and, for the same precision, faster than the Leippold and Wu [M. Leippold and L. Wu, Option pricing under the quadratic class, Journal of Financial and Quantitative Analysis37(2) (2002) 271–295] method. We deduce simple general recommendations for the choice of parameters of computational schemes for QTSMs, which ensure a given precision, and an approximate formula for the bias which FFT produces.

Quadratic Term Structure Models: Analysis and Performance

2009 ◽  
Author(s):  
Grégoire Leblon ◽  
Franck Moraux
Keyword(s):  
Term Structure ◽  
Quadratic Term ◽  
Term Structure Models ◽  
Quadratic Term Structure ◽  
And Performance

scholarly journals Pseudo-Diffusions and Quadratic Term Structure Models

2004 ◽  
Author(s):  
Sergei Z. Levendorskii
Keyword(s):  
Term Structure ◽  
Quadratic Term ◽  
Term Structure Models ◽  
Quadratic Term Structure

Wishart Quadratic Term Structure Models

2003 ◽  
Author(s):  
Christian Gourieroux ◽  
Razvan Sufana
Keyword(s):  
Term Structure ◽  
Quadratic Term ◽  
Term Structure Models ◽  
Quadratic Term Structure

scholarly journals Design and Estimation of Quadratic Term Structure Models *

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

LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

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

scholarly journals PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS

2005 ◽  
Vol 15 (3) ◽  
pp. 393-424 ◽  
Author(s):  
Sergei Levendorskii
Keyword(s):  
Term Structure ◽  
Quadratic Term ◽  
Term Structure Models ◽  
Quadratic Term Structure

Quadratic Term Structure Models: Theory and Evidence

2000 ◽  
Author(s):  
Dong-Hyun Ahn ◽  
Robert F. Dittmar ◽  
A. Ronald Gallant
Keyword(s):  
Term Structure ◽  
Quadratic Term ◽  
Term Structure Models ◽  
Quadratic Term Structure
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