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Interest Rate Modelling
16 references·2 citing·34 second hop
Interest Rate Modelling (2010)Interest Rate ModellingOptions, Futures and Other Derivatives (2003)Options, Futures and Other De…Introduction to Mathematical Finance (2000)Introduction to Mathematical …The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Interest-rate option models (1996)Interest-rate option modelsFinancial Calculus (1996)Financial CalculusInterest Rates as Options (1995)Interest Rates as OptionsA Review of Financial Studies (1) (1994)A Review of Financial Studies…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Continuous-Time Finance. (1991)Continuous-Time Finance.Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Theory of Financial Decision Making. (1988)Theory of Financial Decision …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…A continuous time approach to the pricing of bonds (1979)A continuous time approach to…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models (2013)A Theoretical Foundation for …Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting (2008)Linear Gaussian affine term s…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Theory of Rational Option Pricing (1973)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Theory of rational option pricing (2005)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)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)Arbitrage Theory in Continuous Time (1998)Facts and Fantasies about Commodity Futures (2006)A critical review on supply chain risk – Definition, measure and modeling (2014)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)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)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Customer Satisfaction and Shareholder Value (2004)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (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
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1994A Review of Financial Studies (1)885 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1997The Complete Guide to Option Pricing Formulas529 cited
  • 1995Interest Rates as Options428 cited
  • 2000Introduction to Mathematical Finance343 cited
  • 1996Financial Calculus313 cited
  • 1996Interest-rate option models275 cited

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Cited by

  • 2008Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting35 cited
  • 2013A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models30 cited