英文标题：
《Polynomial term structure models》
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作者：
Si Cheng and Michael R. Tehranchi
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最新提交年份：
2020
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英文摘要：
In this article, we explore a class of tractable interest rate models that have the property that the price of a zero-coupon bond can be expressed as a polynomial of a state diffusion process. Our results include a classification of all such time-homogeneous single-factor models in the spirit of Filipovic\'s maximal degree theorem for exponential polynomial models, as well as an explicit characterisation of the set of feasible parameters in the case when the factor process is bounded. Extensions to time-inhomogeneous and multi-factor polynomial models are also considered.
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中文摘要：
在本文中，我们探讨了一类可控利率模型，其性质是零息债券的价格可以表示为状态扩散过程的多项式。我们的结果包括根据菲利波维奇指数多项式模型的最大度定理对所有此类时间齐次单因子模型进行分类，以及在因子过程有界的情况下对可行参数集的明确描述。还考虑了时间非齐次和多因子多项式模型的扩展。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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