SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM

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Quadratic Variance Swap Models (2016, unknown): “It follows from Cheridito, Filipović, and Kimmel (2007) that the change of measure P Q is welldefined under these conditions.”
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (2007, background): “Filipović (2002) proves that the maximal consistent order of a separable, polynomial model is two.”
QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004, unknown): “For an efficient treatment of the Riccati equations (3.4)–(3.6) for d ≥ 2, we refer the reader to Freiling (2002).”