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Pricing Interest Rate Derivatives: A General Approach
16 references·16 citing·22 second hopsampled
Pricing Interest Rate Derivatives: A General Approach (2002)Pricing Interest Rate Derivatives: A Gene…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Dynamic 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…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Expected stock returns and volatility (1987)Expected stock returns and vo…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Economic Uncertainty, Disagreement, and Credit Markets (2013)Economic Uncertainty, Disagre…Generalized Transform Analysis of Affine Processes and Applications in Finance (2012)Generalized Transform Analysi…EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (2012)EFFICIENT PRICING AND RELIABL…CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS (2012)CLOSED FORM PRICING FORMULAS …The Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yield (2010)The Stochastic Behavior of Co…Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows (2010)Bond pricing under a Markovia…Linear-quadratic term structure models – Toward the understanding of jumps in interest rates (2008)Linear-quadratic term structu…Inflation-indexed swaps and swaptions (2008)Inflation-indexed swaps and s…THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (2007)THE EIGENFUNCTION EXPANSION M…Wishart Quadratic Term Structure Models (2005)Wishart Quadratic Term Struct…Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? (2005)Validating forecasts of the j…Unspanned stochastic volatility and fixed income derivatives pricing (2005)Unspanned stochastic volatili…Jackknifing Bond Option Prices (2005)Jackknifing Bond Option PricesPricing Power Derivatives: A Two-Factor Jump-Diffusion Approach (2004)Pricing Power Derivatives: A …Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets (2003)Hedging in the Possible Prese…An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices (2003)An evaluation of multi-factor…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)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)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Optimum consumption and portfolio rules in a continuous-time model (1971)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)The Cross‐Section of Volatility and Expected Returns (2006)
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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
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 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
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited

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1997
Empirical Performance of Alternative Option Pricing Models
2,708 cited

Cited by

  • 2003An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices141 cited
  • 2005Jackknifing Bond Option Prices111 cited
  • 2013Economic Uncertainty, Disagreement, and Credit Markets104 cited
  • 2005Wishart Quadratic Term Structure Models92 cited
  • 2003Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets85 cited
  • 2012CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS82 cited
  • 2010The Stochastic Behavior of Commodity Prices with Heteroscedasticity in the Convenience Yield70 cited
  • 2007THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS64 cited
  • 2012Generalized Transform Analysis of Affine Processes and Applications in Finance60 cited
  • 2004Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach58 cited
  • 2010Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows52 cited
  • 2012EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL52 cited
  • 2008Linear-quadratic term structure models – Toward the understanding of jumps in interest rates49 cited
  • 2005Unspanned stochastic volatility and fixed income derivatives pricing48 cited
  • 2008Inflation-indexed swaps and swaptions43 cited
  • 2005Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?39 cited