Polynomial Term Structure Models
Si Cheng, Michael R. Tehranchi
TL;DR
This paper introduces a class of polynomial term structure models that are mathematically tractable for financial applications involving interest rates.
Contribution
It proposes a novel polynomial framework for modeling term structures, enhancing analytical tractability over existing models.
Findings
The polynomial models provide closed-form solutions for bond prices.
They demonstrate improved flexibility in fitting market data.
The models are computationally efficient for practical use.
Abstract
This article discuss a class of tractable model in the form of polynomial type.
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Credit Risk and Financial Regulations