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Asset Pricing under the Quadratic Class

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Cited by:

  1. Raphaël Homayoun Boroumand & St�phane Goutte & Thomas Porcher, 2014. "A regime-switching model to evaluate bonds in a quadratic term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 24(21), pages 1361-1366, November.
  2. Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance 616, Stockholm School of Economics.
  3. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(3), pages 517-550, June.
  4. Lingfei Li & Vadim Linetsky, 2015. "Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach," Finance and Stochastics, Springer, vol. 19(4), pages 941-977, October.
  5. Kentaro Kikuchi, "undated". "A Global Joint Pricing Model of Stocks and Bonds Based on the Quadratic Gaussian Approach," Discussion Papers CRR Discussion Paper Series B: Financial 18, Shiga University, Faculty of Economics,Center for Risk Research.
  6. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
  7. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
  8. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
  9. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
  10. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
  11. Chung, Tsz-Kin & Iiboshi, Hirokuni, 2015. "Prediction of Term Structure with Potentially Misspecified Macro-Finance Models near the Zero Lower Bound," MPRA Paper 85709, University Library of Munich, Germany.
  12. Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
  13. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
  14. Matsumura, Marco & Moreira, Ajax & Vicente, José, 2011. "Forecasting the yield curve with linear factor models," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 237-243.
  15. Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
  16. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
  17. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2011. "Monetary Policy Shifts and the Term Structure," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(2), pages 429-457.
  18. Kay Giesecke & Baeho Kim & Jack Kim & Gerry Tsoukalas, 2014. "Optimal Credit Swap Portfolios," Management Science, INFORMS, vol. 60(9), pages 2291-2307, September.
  19. Realdon, Marco, 2016. "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 128-147.
  20. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
  21. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
  22. Christian Gourieroux & Razvan Sufana, 2006. "A Classification of Two-Factor Affine Diffusion Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 31-52.
  23. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
  24. Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
  25. Nikola Mirkov, 2014. "International financial transmission of the Fed's monetary policy," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(2), pages 7-49, September.
  26. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2007.
  27. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  28. Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
  29. Andreasen, Martin & Meldrum, Andrew, 2013. "Likelihood inference in non-linear term structure models: the importance of the lower bound," Bank of England working papers 481, Bank of England.
  30. repec:bfr:rueban:3 is not listed on IDEAS
  31. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
  32. Martijn Pistorius & Johannes Stolte, 2012. "Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations," Papers 1203.6899, arXiv.org.
  33. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
  34. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  35. Markus Leippold & Liuren Wu, 2003. "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, vol. 7(1), pages 47-73.
  36. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney.
  37. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  38. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining," CIRJE F-Series CIRJE-F-1152, CIRJE, Faculty of Economics, University of Tokyo.
  39. Marcello Pericoli & Marco Taboga, 2022. "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
  40. Renne, J.-P. & Rousselet, G., 2015. "Disentangling Credit and Liquidity Risks from Interbank Spreads," Rue de la Banque, Banque de France, issue 03, February..
  41. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
  42. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
  43. Kawakatsu, Hiroyuki, 2007. "Specification and estimation of discrete time quadratic stochastic volatility models," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 424-442, June.
  44. Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa, 2014. "Pricing sovereign credit risk of an emerging market," NBP Working Papers 189, Narodowy Bank Polski.
  45. Perignon, Christophe & Smith, Daniel R., 2007. "Yield-factor volatility models," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3125-3144, October.
  46. Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
  47. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  48. Samson Assefa, 2007. "Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 31, July-Dece.
  49. Kim, Don H. & Singleton, Kenneth J., 2012. "Term structure models and the zero bound: An empirical investigation of Japanese yields," Journal of Econometrics, Elsevier, vol. 170(1), pages 32-49.
  50. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  51. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  52. Kay Giesecke & Lisa R. Goldberg & Xiaowei Ding, 2011. "A Top-Down Approach to Multiname Credit," Operations Research, INFORMS, vol. 59(2), pages 283-300, April.
  53. Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017. "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, vol. 201(2), pages 348-366.
  54. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
  55. Stéphane Goutte, 2013. "Markov switching quadratic term structure models," Working Papers hal-00821745, HAL.
  56. Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
  57. Sorwar, Ghulam & Barone-Adesi, Giovanni & Allegretto, Walter, 2007. "Valuation of derivatives based on single-factor interest rate models," Global Finance Journal, Elsevier, vol. 18(2), pages 251-269.
  58. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.
  59. Haitao Li & Feng Zhao, 2009. "Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4335-4376, November.
  60. Cody Hyndman & Xinghua Zhou, 2014. "Explicit solutions of quadratic FBSDEs arising from quadratic term structure models," Papers 1410.1220, arXiv.org, revised Dec 2014.
  61. Duffee, Gregory R., 2013. "Bond Pricing and the Macroeconomy," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 907-967, Elsevier.
  62. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
  63. Leunglung Chan & Eckhard Platen, 2016. "Pricing of long dated equity-linked life insurance contracts," Published Paper Series 2016-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  64. Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
  65. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May.
  66. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
  67. Duffee, Gregory, 2013. "Forecasting Interest Rates," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 385-426, Elsevier.
  68. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  69. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  70. Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
  71. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  72. Christian Gourieroux, 2005. "Wishart Autoregressive Model for Stochastic Risk," Working Papers 2005-43, Center for Research in Economics and Statistics.
  73. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, University Library of Munich, Germany.
  74. K. Giesecke & H. Kakavand & M. Mousavi, 2011. "Exact Simulation of Point Processes with Stochastic Intensities," Operations Research, INFORMS, vol. 59(5), pages 1233-1245, October.
  75. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
  76. Mirkov, Nikola, 2012. "International Financial Transmission of the US Monetary Policy: An Empirical Assessment," Working Papers on Finance 1201, University of St. Gallen, School of Finance.
  77. Kentaro Kikuchi, "undated". "A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy," Discussion Papers CRR Discussion Paper Series B: Financial 19, Shiga University, Faculty of Economics,Center for Risk Research.
  78. Lioui, Abraham & Poncet, Patrice, 2004. "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1569-1595, July.
  79. Dongjae Lim & Lingfei Li & Vadim Linetsky, 2012. "Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach," Papers 1206.5046, arXiv.org.
  80. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
  81. Almeida, Caio Ibsen Rodrigues de, 2005. "A Note on the Relation Between Principal Components and Dynamic Factors in Affine Term Structure Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(1), May.
  82. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
  83. Kentaro Kikuchi, 2015. "Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis," Discussion Papers CRR Discussion Paper Series B: Financial 14, Shiga University, Faculty of Economics,Center for Risk Research.
  84. Inci, Ahmet Can, 2007. "US-Swiss term structures and exchange rate dynamics," Global Finance Journal, Elsevier, vol. 18(2), pages 270-288.
  85. Si Cheng & Michael R. Tehranchi, 2014. "Polynomial Term Structure Models," Papers 1404.6190, arXiv.org, revised Mar 2016.
  86. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
  87. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
  88. Akira Yamazaki, 2014. "Pricing average options under time-changed Lévy processes," Review of Derivatives Research, Springer, vol. 17(1), pages 79-111, April.
  89. Xiaowei Ding & Kay Giesecke & Pascal I. Tomecek, 2009. "Time-Changed Birth Processes and Multiname Credit Derivatives," Operations Research, INFORMS, vol. 57(4), pages 990-1005, August.
  90. Daniel R. Smith & Christophe Parignon, 2004. "Modeling Yield-Factor Volatility," Econometric Society 2004 Australasian Meetings 307, Econometric Society.
  91. Martin M. Andreasen & Andrew Meldrum, 2014. "Dynamic term structure models: The best way to enforce the zero lower bound," CREATES Research Papers 2014-47, Department of Economics and Business Economics, Aarhus University.
  92. Chung, Tsz-Kin & Hui, Cho-Hoi & Li, Ka-Fai, 2017. "Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium," Finance Research Letters, Elsevier, vol. 21(C), pages 100-106.
  93. Enlin Pan & Liuren Wu, 2006. "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 327-356, World Scientific Publishing Co. Pte. Ltd..
  94. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, University Library of Munich, Germany.
  95. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
  96. Li Chen & H. Vincent Poor, 2003. "Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates," Finance 0303008, University Library of Munich, Germany.
  97. Souta Nakatani & Kiyohiko G. Nishimura & Taiga Saito & Akihiko Takahashi, 2020. "Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access)," CARF F-Series CARF-F-479, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  98. Tsz-Kin Chung & Cho-Hoi Hui & Ka-Fai Li, 2015. "Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium," Working Papers 212015, Hong Kong Institute for Monetary Research.
  99. Marco Shinobu Matsumura & Ajax Reynaldo Bello Moreira & José Valentim Machado Vicente, 2010. "Forecasting the Yield Curve with Linear Factor Models," Working Papers Series 223, Central Bank of Brazil, Research Department.
  100. Ngoc-Khanh Tran, 2019. "The Functional Stochastic Discount Factor," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-49, December.
  101. Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org, revised Dec 2020.
  102. Lim, Dongjae & Li, Lingfei & Linetsky, Vadim, 2012. "Evaluating callable and putable bonds: An eigenfunction expansion approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1888-1908.
  103. Gaspar, Raquel M., 2004. "General Quadratic Term Structures of Bond, Futures and Forward Prices," SSE/EFI Working Paper Series in Economics and Finance 559, Stockholm School of Economics.
  104. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2022. "Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk," Mathematics and Financial Economics, Springer, volume 16, number 4, June.
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