2 citations · 2 across the 2 of their papers we have counts for
3 papers
math.PR2016
Spectral term structure models
Si Cheng, Michael R. Tehranchi
This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise,…
q-fin.MF2015
Polynomial term structure models
Si Cheng, Michael R. Tehranchi
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 diffus…
q-fin.PR2014★ 2 cited
Polynomial Term Structure Models
Si Cheng, Michael R. Tehranchi
This article discuss a class of tractable model in the form of polynomial type.