Polynomial term structure models
2021
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.
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