SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
16 references·0 citing·37 second hop
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (2013)The nature of the dependence of the magni…The Term Structure of Simple Forward Rates with Jump Risk (2003)The Term Structure of Simple …Volatility skews and extensions of the Libor market model (2000)Volatility skews and extensio…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Another Look at Models of the Short-Term Interest Rate (1996)Another Look at Models of the…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…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…Displaced Diffusion Option Pricing (1983)Displaced Diffusion Option Pr…On the relation between the variability of inflation and the average inflation rate (1981)On the relation between the v…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…The Mirage of Steady Inflation (1971)The Mirage of Steady InflationTheory of Rational Option Pricing (1973)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Arbitrage Theory in Continuous Time (1998)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Moment explosions in stochastic volatility models (2006)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)Efficient estimation of conditional variance functions in stochastic regression (1998)Quadratic Term Structure Models: Theory and Evidence (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)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)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)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)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Alternative models for stock price dynamics (2003)Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)A jump to default extended CEV model: an application of Bessel processes (2006)
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
  • 1976The pricing of commodity contracts2,859 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
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 1971The Mirage of Steady Inflation331 cited
  • 1996Another Look at Models of the Short-Term Interest Rate306 cited
  • 2000Volatility skews and extensions of the Libor market model277 cited
  • 1983Displaced Diffusion Option Pricing247 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited
  • 1981

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

On the relation between the variability of inflation and the average inflation rate
159 cited

Cited by

No citing works inside the corpus for this window.