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A Geometric View of Interest Rate Theory
16 references·2 citing·34 second hop
A Geometric View of Interest Rate Theory (2010)A Geometric View of Interest Rate TheoryTerm Structure of Interest Rates (2008)Term Structure of Interest Ra…On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models (2001)On the Existence of Finite‐Di…Term Structure Models Driven by General Lévy Processes (1999)Term Structure Models Driven …Minimal realizations of interest rate models (1999)Minimal realizations of inter…Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Interest Rate Dynamics and Co…A Note on the Nelson-Siegel Family (1999)A Note on the Nelson-Siegel F…A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models (1998)A Markovian Framework in Mult…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…WHEN IS THE SHORT RATE MARKOVIAN? (1994)WHEN IS THE SHORT RATE MARKOV…A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)A MULTIFACTOR GAUSS MARKOV IM…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…On the Geometry of Interest Rate Models (2004)On the Geometry of Interest R…Finite–dimensional Markovian realizations for stochastic volatility forward–rate models (2004)Finite–dimensional Markovian …Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot (1998)A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)Theory of Rational Option Pricing (1973)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)Asset Pricing under the Quadratic Class (2002)Realized power variation and stochastic volatility models (2003)Brownian Motion and Stochastic Calculus (2007)Hyperbolic Distributions in Finance (1995)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)THE TAX‐ADJUSTED YIELD CURVE (1975)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)What do We Know About Investment Under Uncertainty? (2000)Asset Pricing Implications of Equilibrium Business Cycle Models (2020)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 2008Term Structure of Interest Rates524 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 1999Term Structure Models Driven by General Lévy Processes271 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON250 cited
  • 1999A Note on the Nelson-Siegel Family214 cited
  • 2001On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models209 cited
  • 1994WHEN IS THE SHORT RATE MARKOVIAN?196 cited
  • 1998A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models164 cited
  • 1999Minimal realizations of interest rate models

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Cited by

  • 2004On the Geometry of Interest Rate Models31 cited
  • 2004Finite–dimensional Markovian realizations for stochastic volatility forward–rate models29 cited