QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES

By Li Chen, Damir Filipovi'c, H. Vincent Poor. 2004

97 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9fe9c3008850ca25540b560d6a064fb341d9f4c3

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. Eberhard Mayerhofer
2. Olivier Scaillet
3. P. Cheng
4. Xiaowei Ding
5. Pascal I. Tomecek
6. Damir Filipovi'c
7. Kay Giesecke
8. Andrew J. Patton

In Management Science and Operations Research

1. Damir Filipovi'c
2. Olivier Scaillet
3. Kay Giesecke

Citations in the corpus

• Affine Diffusion Processes: Theory and Applications (2009, background): “[19], which are in turn, related to quadratic processes on the canonical state-space ([7], see also their Example 5.”
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007, background): “See, for example, Pan and Wu (2005) and Chen, Filipović, and Poor (2004), where special quadratic term structure models with affine equivalence are given.”
• Quadratic Variance Swap Models (2016, unknown): “…the state variable which follows an affine diffusion process.8 The loadings in turn are given in terms of a nonlinear ordinary differential equation.9 Quadratic and higher order polynomial specifications of the yield curve are very limited, see Filipović (2002) and Chen, Filipović, and Poor (2004).”
• Time-Changed Birth Processes and Multi-Name Credit Derivatives (2008, background): “Chen et al. (2002) give explicit solutions to these equations for the case d = 1.”