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Generalizing the Affine Framework to HJM and Random Field Models
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Generalizing the Affine Framework to HJM and Random Field Models (2003)Generalizing the Affine Framework to HJM …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Term Structure of Interest Rates with Regime Shifts (2002)Term Structure of Interest Ra…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Who Should Buy Long-Term Bonds? (2001)Who Should Buy Long-Term Bond…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Stochastic Differential Equations (1990)Stochastic Differential Equat…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …Approximate option valuation for arbitrary stochastic processes (1982)Approximate option valuation …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)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)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Modelling Extremal Events (1997)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Alternative models for stock price dynamics (2003)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2001Who Should Buy Long-Term Bonds?624 cited
  • 1982Approximate option valuation for arbitrary stochastic processes608 cited
  • 2002Term Structure of Interest Rates with Regime Shifts456 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 1990

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Stochastic Differential Equations
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