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Quadratic Term Structure Models · Study

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PreprintQuadratic Term Structure Models

Markus Leippold2000

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Preprintgreen2000

Quadratic Term Structure Models

Markus Leippold · Liuren Wu

45 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1977An equilibrium characterization of the term structure 1993Dynamic Asset Pricing Theory.1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1999Option valuation using the fast Fourier transform 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER

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2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application

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2001Recent Advances in Estimating Term-Structure Modelsarticle · 15 shared references 2003Purebred or hybrid?: Reproducing the volatility in term structure dynamicsarticle · 15 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 14 shared references 2010Affine Term Structure Modelschapter · 11 shared references 1999A Parametric Nonlinear Model of Term Structure Dynamicsarticle · 11 shared references 2012Estimation of Dynamic Term Structure Modelsarticle · 11 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations45

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.206329

openalex_workW1555655020

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