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
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Authors: | Cheng, Si ; Tehranchi, Michael R. |
Institutions: | arXiv.org |
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