EXPONENTIAL-POLYNOMIAL FAMILIES AND THE TERM STRUCTURE OF INTEREST RATES

By Damir Filipovi'c. 2000

82 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/99641bcba4fb2c7c88774c58bef1bb74284634ad

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Damir Filipovi'c
2. Liuren Wu
3. Josef Teichmann
4. Markus Leippold
5. Jan Kallsen
6. V. Todorov
7. Peter P. Carr
8. Martino Grasselli

In Mathematical Physics

1. Josef Teichmann
2. Liuren Wu
3. Markus Leippold
4. Damir Filipovi'c

Citations in the corpus

• Asset Pricing under the Quadratic Class (2002, background): “Filipović (2001) further proves that the quadratic class represents the highest order of polynomial functions one can apply to consistent time-separable term structure models.”
• On the geometry of the term structure of interest rates (2004, background): “This is essentially a review of Filipović & Teichmann (2003b). In the second part we introduce the notion of generic finite-dimensional realizations in contrast to accidental ones.”