Analytical Pricing of European Bond Options within One-Factor Quadratic Term Structure Models

The Journal of Derivatives ◽

10.3905/jod.2017.24.3.029 ◽

2017 ◽

Vol 24 (3) ◽

pp. 29-41

Author(s):

Grégoire Leblon ◽

Franck Moraux

Keyword(s):

Term Structure ◽

Quadratic Term ◽

Term Structure Models ◽

Bond Options ◽

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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Quadratic Term Structure Models: Theory and Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.218728 ◽

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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