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Quadratic Term Structure Models
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Quadratic Term Structure Models (2000)Quadratic Term Structure ModelsBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…An Econometric Model of the Term Structure of Interest-Rate Swap Yields (1997)An Econometric Model of the T…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Exploiting the Conditional De…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application (2006)The Fractional Ornstein-Uhlen…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (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)Prospect theory: An analysis of decision under risk (1988)Introductory Econometrics for Finance (2008)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Spanning and derivative-security valuation (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Theory of rational option pricing (2005)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)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)
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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
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields793 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

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394 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited
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    • 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited