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Quadratic Term Structure Models For Risk‐Free And Defaultable Rates

Citations

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Cited by:

  1. 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.
  2. Januj Juneja, 2025. "What is the Effect of Restrictions Imposed by Principal Components Analysis on the Empirical Performance of Dynamic Term Structure Models?," Computational Economics, Springer;Society for Computational Economics, vol. 65(5), pages 2505-2543, May.
  3. 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, January-A.
  4. Jirô Akahori & Takahiro Tsuchiya, 2006. "What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 299-313, December.
  5. 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.
  6. Matthew Lorig & Natchanon Suaysom, 2022. "Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models," Papers 2212.04425, arXiv.org.
  7. Jirô Akahori & Keisuke Hara, 2006. "Lifting Quadratic Term Structure Models To Infinite Dimension," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 635-645, October.
  8. 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.
  9. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
  10. 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.
  11. Jirô Akahori & Hiroki Aoki & Yoshihiko Nagata, 2006. "Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 151-179, June.
  12. Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.
  13. Stéphane Goutte, 2013. "Markov switching quadratic term structure models," Working Papers hal-00821745, HAL.
  14. Realdon, Marco, 2009. ""Extended Black" term structure models," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 232-238, December.
  15. 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.
  16. Niels Rom-Poulsen, 2007. "Semi-analytical MBS Pricing," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 463-498, May.
  17. 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.
  18. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
  19. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.
  20. Likuan Qin & Vadim Linetsky, 2016. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing," Operations Research, INFORMS, vol. 64(1), pages 99-117, February.
  21. 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.
  22. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
  23. Si Cheng & Michael R. Tehranchi, 2015. "Polynomial term structure models," Papers 1504.03238, arXiv.org, revised Dec 2020.
  24. 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, December.
  25. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
  26. 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.
  27. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  28. 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.
  29. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
  30. Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
  31. 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.
  32. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  33. Samson Assefa, 2007. "Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 202, Quantitative Finance Research Centre, University of Technology, Sydney.
  34. Shaw, Charles, 2020. "Regimes, Non-Linearities, and Price Discontinuities in Indian Energy Stocks," MPRA Paper 104798, University Library of Munich, Germany.
  35. Peng Cheng & Olivier Scaillet, 2007. "Linear‐Quadratic Jump‐Diffusion Modeling," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 575-598, October.
  36. Cody Hyndman & Xinghua Zhou, 2014. "Explicit solutions of quadratic FBSDEs arising from quadratic term structure models," Papers 1410.1220, arXiv.org, revised Dec 2014.
  37. 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.
  38. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Post-Print hal-02367200, HAL.
  39. 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.
  40. Jin, Sixian & Schellhorn, Henry & Vives, Josep, 2020. "Dyson type formula for pure jump Lévy processes with some applications to finance," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 824-844.
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