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Impact of Different Interest Rate Models on Bond Value Measures
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Impact of Different Interest Rate Models on Bond Value Measures (2001)Impact of Different Interest Rate Models …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…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Bond and Option Pricing when Short Rates are Lognormal (1991)Bond and Option Pricing when …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…A nonlinear general equilibrium model of the term structure of interest rates (1989)A nonlinear general equilibri…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…An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Option pricing: A simplified approach (1979)Option pricing: A simplified …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …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…The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)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)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)Stochastic Differential Equations and Diffusion Processes (1983)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)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)Modeling Term Structures of Defaultable Bonds (1999)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 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
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 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
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

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373 cited
  • 1989A nonlinear general equilibrium model of the term structure of interest rates244 cited
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