General Quadratic Term Structures of Bond, Futures and Forward Prices
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Cited by:
- Roger Lord & Christian Kahl, 2006. "Optimal Fourier Inversion in Semi-analytical Option Pricing," Tinbergen Institute Discussion Papers 06-066/2, Tinbergen Institute, revised 05 Jun 2007.
- Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
- Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren, 2012. "Extension of stochastic volatility equity models with the Hull--White interest rate process," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 89-105, July.
- Gaspar, Raquel M. & Schmidt, Thorsten, 2005. "Quadratic Portfolio Credit Risk models with Shot-noise Effects," SSE/EFI Working Paper Series in Economics and Finance 616, Stockholm School of Economics.
- Aneta Hryckiewicz & Piotr Mielus & Karolina Skorulska & Malgorzata Snarska, 2018. "Does a bank levy increase frictions on the interbank market?," KAE Working Papers 2018-033, Warsaw School of Economics, Collegium of Economic Analysis.
- Gaspar, Raquel M., 2004. "On Finite Dimensional Realizations of Forward Price Term Structure Models," SSE/EFI Working Paper Series in Economics and Finance 569, Stockholm School of Economics.
- Zorana Grbac & Laura Meneghello & Wolfgang J. Runggaldier, 2015. "Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model," Papers 1512.03259, arXiv.org, revised Jun 2016.
- Cody Hyndman & Xinghua Zhou, 2014. "Explicit solutions of quadratic FBSDEs arising from quadratic term structure models," Papers 1410.1220, arXiv.org, revised Dec 2014.
- Mia Hinnerich, 2015. "Consistent Parallel And Proportional Shifts In The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-25.
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More about this item
Keywords
term structure; bond price; futures price; forward price; affine term structure; quadratic term structure;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2004-04-04 (Corporate Finance)
- NEP-FIN-2004-04-04 (Finance)
- NEP-FMK-2004-04-04 (Financial Markets)
- NEP-RMG-2004-04-04 (Risk Management)
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