SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM

DOI10.1111/j.1467-9965.2002.tb00128.xzbMath1047.91031OpenAlexW2111452582MaRDI QIDQ4419299

Damir Filipović

Publication date: 13 August 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://infoscience.epfl.ch/record/148505

zbMATH Keywords

interest rate modelsforward curvesaffine and quadratic term structures

Mathematics Subject Classification ID

Related Items (9)

Consistency Problems for Jump‐diffusion Models ⋮ LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING ⋮ The dynamics of implied volatilities: a common principal components approach ⋮ Efficient calibration of trinomial trees for one-factor short rate models ⋮ AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING ⋮ Derivative Pricing for a Multi-curve Extension of the Gaussian, Exponentially Quadratic Short Rate Model ⋮ POLYNOMIAL TERM STRUCTURE MODELS ⋮ ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL ⋮ LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

Cites Work

• A Theory of the Term Structure of Interest Rates
• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Consistency problems for Heath-Jarrow-Morton interest rate models
• A general characterization of one factor affine term structure models

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