Asset Pricing under the Quadratic Class
识别并刻画了一类债券收益率是状态向量二次函数的期限结构模型，称为二次类，并为其未来实证应用奠定理论基础。文章提供了两种通用变换方法，用于对多种固定收益衍生品进行封闭或半封闭形式定价，并展示了该模型在更一般场景中的应用。
We identify and characterize a class of term structure models where bond yields are quadratic functions of the state vector.We label this class the quadratic class and aim to lay a solid theoretical foundation for its future empirical application.We consider asset pricing in general and derivative pricing in particular under the quadratic class.We provide two general transform methods in pricing a wide variety of fixed income derivatives in closed or semi-closed form.We further illustrate how the quadratic model and the transform methods can be applied to more general settings.