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Stochastic flow and FBSDE approaches to quadratic term structure models

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Stochastic flow and FBSDE approaches to quadratic term structure models

Zhou, Xinghua (2010) Stochastic flow and FBSDE approaches to quadratic term structure models. Masters thesis, Concordia University.

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Abstract

We study the stochastic flow method and Forward-backward Stochastic Differential Equation (FBSDE) approach to the Quadratic Term Structure Models (QTSMs). Applying the stochastic flow approach, we get a closed form solution for the zero-coupon bond price under a one-dimensional QTSM. However, in the higher dimensional cases, the stochastic flow approach is difficult to implement. Therefore, we solve the n -dimensional QTSMs by implementing the FBSDE approach, which shows that the zero-coupon bond price under QTSM provided some Riccati type equations have global solutions.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Zhou, Xinghua
Pagination:iv, 51 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc.
Program:Mathematics
Date:2010
Thesis Supervisor(s):Hyndman, C
ID Code:979396
Deposited By: Concordia University Library
Deposited On:09 Dec 2014 17:58
Last Modified:18 Jan 2018 17:49
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