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Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model
15 references·2 citing·35 second hop
Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model (2002)Squared Bessel Processes and Their Applic…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On Some Exponential Functionals of Brownian Motion (2001)On Some Exponential Functiona…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)SOLUTION OF THE EXTENDED CIR …Which Model for Term-Structure of Interest Rates Should One Use? (1995)Which Model for Term-Structur…A simple class of square-root interest-rate models (1995)A simple class of square-root…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…On some exponential functionals of Brownian motion (1992)On some exponential functiona…General Solutions of Some Interest Rate-Contingent Claim Pricing Equations (1991)General Solutions of Some Int…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Pricing catastrophe risk bonds: A mixed approximation method (2013)Pricing catastrophe risk bond…A stability result for the HARA class with stochastic interest rates (2003)A stability result for the HA…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of rational option pricing (2005)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On the pricing of American options (1988)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Option pricing and Esscher transform under regime switching (2005)A pricing method for options based on average asset values (1990)PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)Spectral Expansions for Asian (Average Price) Options (2004)Exponential functionals of Brownian motion, I: Probability laws at fixed time (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The value of an Asian option (1995)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION226 cited
  • 1991General Solutions of Some Interest Rate-Contingent Claim Pricing Equations136 cited
  • 1995Which Model for Term-Structure of Interest Rates Should One Use?117 cited
  • 1995A simple class of square-root interest-rate models57 cited

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2013
Pricing catastrophe risk bonds: A mixed approximation method
81 cited
  • 2003A stability result for the HARA class with stochastic interest rates39 cited