A term structure model of interest rates with quadratic volatility

DOI10.1080/14697688.2017.1417623zbMath1400.91634OpenAlexW2761594875MaRDI QIDQ4554488

Hideyuki Takamizawa

Publication date: 14 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1417623

zbMATH Keywords

predictioninterest rateterm structurevolatilityaffine model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
• Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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