| | SSRN-The Eigenfunction Expansion Method in Multi-factor Quadratic Term Structure Models by Nina Boyarchenko, Sergei ... (Site not responding. Last check: 2007-10-11) |
 | | The eigenvalues, eigenfunctions and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case but in non-selfadjoint case as well; the eigenfunctions and adjoint functions are expressed in terms of the Hermite polynomials. |
 | | We also consider the subordination of the same class of models, and show that in the framework of the eigenfunction expansion approach, the subordinated models are (almost) as simple as pure Gaussian models. |
 | | Boyarchenko, Nina and Levendorskii, Sergei Z., "The Eigenfunction Expansion Method in Multi-factor Quadratic Term Structure Models" (January 9, 2006). |
| papers.ssrn.com /Sol3/papers.cfm?abstract_id=874839 (367 words) |