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MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
11 references·8 citing·40 second hop
MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH (2005)MODELING TERM STRUCTURE DYNAMICS: AN INFI…Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (2002)Telling from Discrete Data Wh…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2001)The Dynamics of the Forward I…The Term Structure of Interest Rates as a Random Field (2000)The Term Structure of Interes…Towards a general theory of bond markets (1997)Towards a general theory of b…Long Forward and Zero-Coupon Rates Can Never Fall (1996)Long Forward and Zero-Coupon …THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994)THE TERM STRUCTURE OF INTERES…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Volatility and the Yield Curve (1991)Volatility and the Yield CurveFoundations of Stochastic Differential Equations in Infinite Dimensional Spaces (1984)Foundations of Stochastic Dif…A Two-Factor Model of the Term Structure: An Approximate Analytical Solution (1984)A Two-Factor Model of the Ter…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…Parameter estimation for semilinear SPDEs from local measurements (2023)Parameter estimation for semi…Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Deep Curve-Dependent PDEs for…Parameter estimation for SPDEs based on discrete observations in time and space (2021)Parameter estimation for SPDE…Nonparametric estimation for linear SPDEs from local measurements (2021)Nonparametric estimation for …High-frequency analysis of parabolic stochastic PDEs (2020)High-frequency analysis of pa…Volatility estimation for stochastic PDEs using high-frequency observations (2019)Volatility estimation for sto…Exponential moments for HJM models with jumps (2007)Exponential moments for HJM m…A characterization of hedging portfolios for interest rate contingent claims (2004)A characterization of hedging…An equilibrium characterization of the term structure (1977)An arbitrage model of the term structure of interest rates (1978)Unit roots and the estimation of interest rate dynamics (1996)Neural networks in financial engineering: a study in methodology (1997)Yield Curve Predictors of Foreign Exchange Returns (2010)A Theory of the Term Structure of Interest Rates (1985)Continuous-time term structure models: Forward measure approach (1997)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Stochastic Integration and Differential Equations (2005)Martingales and arbitrage in multiperiod securities markets (1979)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)The term structure of interest rates in a pure exchange economy with heterogeneous investors (1995)Uncertainty In Environmental Economics (2006)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The relation between forward prices and futures prices (1981)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (2006)Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? (2007)Option pricing when underlying stock returns are discontinuous (1976)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market (2010)Jumps and Information Flow in Financial Markets (2011)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Quadratic Variance Swap Models (2013)An Econometric Model of the Yield Curve with Macroeconomic Jump Effects (2001)Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2010)Parabolic SPDEs driven by Poisson white noise (1998)Space-time continuous solutions to SPDE's driven by a homogeneous Wiener process (1999)Stochastic finite elements: Computational approaches to stochastic partial differential equations (2008)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1997Towards a general theory of bond markets334 cited
  • 1984Foundations of Stochastic Differential Equations in Infinite Dimensional Spaces251 cited
  • 1996Long Forward and Zero-Coupon Rates Can Never Fall208 cited
  • 2002Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion197 cited
  • 1991Volatility and the Yield Curve158 cited
  • 2001The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks158 cited
  • 2000The Term Structure of Interest Rates as a Random Field150 cited
  • 1984A Two-Factor Model of the Term Structure: An Approximate Analytical Solution144 cited
  • 1994THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD139 cited

Cited by

  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited
  • 2007Exponential moments for HJM models with jumps55 cited
  • 2019Volatility estimation for stochastic PDEs using high-frequency observations48 cited
  • 2020High-frequency analysis of parabolic stochastic PDEs

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47 cited
  • 2021Parameter estimation for SPDEs based on discrete observations in time and space42 cited
  • 2023Deep Curve-Dependent PDEs for Affine Rough Volatility33 cited
  • 2021Nonparametric estimation for linear SPDEs from local measurements32 cited
  • 2023Parameter estimation for semilinear SPDEs from local measurements29 cited