QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES-Reference-Cited by-同舟云学术

QUADRATIC TERM STRUCTURE MODELS FOR RISK-FREE AND DEFAULTABLE RATES

Published:2004-10 Issue:4 Volume:14 Page:515-536
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Chen Li,Filipovic Damir,Poor H. Vincent

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.0960-1627.2004.00203.x/fullpdf

Reference23 articles.

1. Quadratic Term Structure Models: Theory and Evidence

2. Quadratic Interest Rate Models as Approximations to Effective Rate Models

3. P.Cheng, and O.Scaillet(2002 ): Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility . Working paper, University of Geneva.

4. P.Cheridito, D.Filipovic, and M.Yor(2003 ): Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes . Working paper, Princeton University.

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