SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
16 references·3 citing·24 second hop
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? (2004)Interest Rate Caps Smile Too! But Can the…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Theory of rational option pricing (2005)Theory of rational option pri…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…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…The pricing of commodity contracts (1976)The pricing of commodity cont…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Are Freight Futures Markets Efficient? Evidence from IMAREX (2011)Are Freight Futures Markets E…The economic determinants of interest rate option smiles (2007)The economic determinants of …A Critique of Revised Basel II (2007)A Critique of Revised Basel IIEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Theory of Rational Option Pricing (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1997The Market Model of Interest Rate Dynamics

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,175 cited

Cited by

  • 2007A Critique of Revised Basel II32 cited
  • 2007The economic determinants of interest rate option smiles32 cited
  • 2011Are Freight Futures Markets Efficient? Evidence from IMAREX31 cited