This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state variables.

Lawrence J. Christiano, Solving the Stochastic Growth Model by Linear-Quadratic Approximation and by Value-Function Iteration, Journal of Business & Economic Statistics, Vol. 8, No. 1 (Jan., 1990), pp ...

ABSTRACT We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps (SVCJ) in both the return and variance processes. The option ...

Perold, André. "An Alternative Model for a Global Analysis of Quadratic Programs in a Finite Number of Steps." Mathematical Programming 15 (December 1978): 105–109.

We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by a pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value ...