Markovian Quadratic Term Structure Models For Risk-free And Defaultable Rates
Download full text from publisher
References listed on IDEAS
- Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000.
"Transform Analysis and Asset Pricing for Affine Jump-Diffusions,"
Econometric Society, vol. 68(6), pages 1343-1376, November.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
- Dong-Hyun Ahn & Robert F. Dittmar, 2002. "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 243-288, March.
- Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
- Likuan Qin & Vadim Linetsky, 2014. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing," Papers 1411.3075, arXiv.org, revised Sep 2015.
- 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.
- Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org, revised Aug 2016.
- Gourieroux, C. & Monfort, A., 2008.
"Quadratic stochastic intensity and prospective mortality tables,"
Insurance: Mathematics and Economics,
Elsevier, vol. 43(1), pages 174-184, August.
- Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.
- Satoshi Yamashita & Toshinao Yoshiba, 2011. "Analytical Solution for the Loss Distribution of a Collateralized Loan under a Quadratic Gaussian Default Intensity Process," IMES Discussion Paper Series 11-E-20, Institute for Monetary and Economic Studies, Bank of Japan.
- Li Chen & Damir Filipovic, 2003. "Modeling Credit Risk by Affine Processes," Finance 0303006, EconWPA.
- Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
- Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, EconWPA.
- 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.
- Peng Cheng & Olivier Scaillet, 2007. "Linear-Quadratic Jump-Diffusion Modeling," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 575-598.
- Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
More about this item
KeywordsQuadratic term structure models; option pricing; defaultable rates; time-homogenous Markov processes;
- C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-09 (All new papers)
- NEP-FMK-2003-04-09 (Financial Markets)
- NEP-MAC-2003-04-09 (Macroeconomics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0303008. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: http://econwpa.repec.org .