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Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics
16 references·13 citing·29 second hop
Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics (1995)Single Factor Heath-Jarrow-Morton Term St…One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (1993)One-Factor Interest-Rate Mode…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.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…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term …Simple Binomial Processes as Diffusion Approximations in Financial Models (1990)Simple Binomial Processes as …Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…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 …A continuous time approach to the pricing of bonds (1979)A continuous time approach to…On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Stochastic Differential Equations (2019)Stochastic Differential Equat…Stochastic string models with continuous semimartingales (2015)Stochastic string models with…Modeling the Term Structure of Interest Rates: A Review of the Literature (2010)Modeling the Term Structure o…An alternative approach on the existence of affine realizations for HJM term structure models (2010)An alternative approach on th…The Term Structure of Interest Rates (2009)The Term Structure of Interes…Existence of Lévy term structure models (2007)Existence of Lévy term struct…Unspanned stochastic volatility and fixed income derivatives pricing (2005)Unspanned stochastic volatili…On the Geometry of Interest Rate Models (2004)On the Geometry of Interest R…Finite–dimensional Markovian realizations for stochastic volatility forward–rate models (2004)Finite–dimensional Markovian …Generalizing the Affine Framework to HJM and Random Field Models (2003)Generalizing the Affine Frame…On the construction of finite dimensional realizations for nonlinear forward rate models (2002)On the construction of finite…Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework (2001)Stochastic Correlation and th…A simple approach to bond option pricing (1997)A simple approach to bond opt…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)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)Prospect theory: An analysis of decision under risk (1988)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)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)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)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)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 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
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 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
  • 1978On the term structure of interest rates659 cited
  • 1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
  • 1992A Theory of the Nominal Term Structure of Interest Rates

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387 cited
  • 1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
  • Cited by

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    • 2005Unspanned stochastic volatility and fixed income derivatives pricing48 cited
    • 1997A simple approach to bond option pricing40 cited
    • 2003Generalizing the Affine Framework to HJM and Random Field Models35 cited
    • 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework34 cited
    • 2004On the Geometry of Interest Rate Models31 cited
    • 2004Finite–dimensional Markovian realizations for stochastic volatility forward–rate models29 cited
    • 2009The Term Structure of Interest Rates28 cited
    • 2010An alternative approach on the existence of affine realizations for HJM term structure models26 cited
    • 2010Modeling the Term Structure of Interest Rates: A Review of the Literature25 cited
    • 2019Stochastic Differential Equations23 cited
    • 2015Stochastic string models with continuous semimartingales20 cited