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Polynomial term structure models

In this article, we explore a class of tractable interest rate models that have the property that the prices of zero-coupon bonds can be expressed as polynomials of a state diffusion process. These models are, in a sense, generalisations of exponential polynomial models. Our main result is a classification of such models in the spirit of Filipovic's maximal degree theorem for exponential polynomial models.
Year of publication:
2015-04
Authors: Cheng, Si ; Tehranchi, Michael R.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011252989
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