SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
0 references·16 citing·40 second hopsampled
A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interest Rates and …Interest‐Rate Modelling (2014)Interest‐Rate ModellingClosed-form likelihood expansions for multivariate diffusions (2008)Closed-form likelihood expans…A Markov Model for the Term Structure of Credit Risk Spreads (2008)A Markov Model for the Term S…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Valuing American Options in a Path Simulation Model (2002)Valuing American Options in a…Closed-Form Likelihood Expansions for Multivariate Diffusions (2002)Closed-Form Likelihood Expans…The intersection of market and credit risk (2000)The intersection of market an…Is the Short Rate Drift Actually Nonlinear? (2000)Is the Short Rate Drift Actua…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (1998)Stochastic Implied Trees: Arb…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)Numerical Procedures for Impl…One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …Scenario optimization (1991)Scenario optimizationA Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)An Exact Bond Option Formula (1989)Kalman Filtering of Generalized Vasicek Term Structure Models (1999)Valuation of Commodity-Based Swing Options (2004)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)Option pricing: A simplified approach (1979)Pricing Interest-Rate-Derivative Securities (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)American option pricing under GARCH by a Markov chain approximation (2001)Pricing American options: a comparison of Monte Carlo simulation approaches (2001)Convergence of the Least Squares Monte Carlo Approach to American Option Valuation (2004)An equilibrium characterization of the term structure (1977)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Pricing default swaps: Empirical evidence (2005)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)What determines Euro area bank CDS spreads? (2012)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Heterogeneous Expectations and Bond Markets (2006)Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)Maximum Likelihood Estimation of Latent Affine Processes (2006)Brownian Motion and Stochastic Calculus (2007)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Estimation of Dynamic Term Structure Models (2012)Martingales and arbitrage in multiperiod securities markets (1979)A Benchmark Approach to Quantitative Finance (2006)Affine Term Structure Models (2010)Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Parameter estimation and bias correction for diffusion processes (2008)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models519 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates387 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 2000The intersection of market and credit risk304 cited
  • 2008Closed-form likelihood expansions for multivariate diffusions293 cited
  • 2002Closed-Form Likelihood Expansions for Multivariate Diffusions285 cited
  • 2002Valuing American Options in a Path Simulation Model279 cited
  • 1998Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility256 cited
  • 2000Is the Short Rate Drift Actually Nonlinear?230 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2008A Markov Model for the Term Structure of Credit Risk Spreads193 cited

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

2014
Interest‐Rate Modelling
190 cited
  • 1991Scenario optimization184 cited