1. Note that we are not discussing general linear-rational models, which have many relative advantages, such as the ability to easily incorporate USV and to tractably apply Fourier methods to swaption pricing. 17 We also note that we appear to be one of only a few short-rate models with USV -the only others known to the author are the affine term structure models;Note also that affine models cannot simultaneously exhibit USV and non-negative interest rates,2002
2. Quadratic term structure models: theory and evidence;D H Bibliography Ahn;Review of Financial Studies,2002
3. A parametric nonlinear model of term structure dynamics;D H Ahn;Review of Financial Studies,1999
4. Option pricing with quadratic volatility: a revisit;L Andersen;Finance and Stochastics,2011