THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS

By Nina Boyarchenko, Sergei Levendorskii. 2007

56 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/904371d1591dad175c17c5ab92bab36adbd83bf5

How researchers see this paper

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In Finance

1. Lingfei Li
2. Rafael Mendoza-Arriaga
3. Vadim Linetsky
4. Gongqiu Zhang
5. Jian-wei Gao
6. Wim Schoutens
7. Marceau Decamps
8. Marc J. Goovaerts

Citations in the corpus

• Error analysis of finite difference and Markov chain approximations for option pricing (2018, background): “…in several one-dimensional parametric diffusion models, where explicit expressions for the eigenvalues and the eigenfunctions are found (see also Boyarchenko & Levendorskii, 2007, 2017; Lorig, 2014, who found explicit eigenfunction expansions for some multifactor quadratic term structure models…”
• Time-changed CIR default intensities with two-sided mean-reverting jumps (2014, background): “Recent applications of subordinate diffusion models in finance can be found in Boyarchenko and Levendorskii (2007), Mendoza-Arriaga, Carr, and Linetsky (2010), Li and Linetsky (2013a,b), Mendoza-Arriaga and Linetsky (2010), Lim, Li, and Linetsky (2012).”