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A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
7 references·16 citing·35 second hopsampled
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION…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…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaTerm 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…A Geometric View of Interest Rate Theory (2010)A Geometric View of Interest …A characterization of hedging portfolios for interest rate contingent claims (2004)A characterization of hedging…The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2003)The Performance of Multi-Fact…Optimal consumption and investment strategies with stochastic interest rates (2003)Optimal consumption and inves…Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields (2003)Finite Dimensional Affine Rea…Pricing Swaptions Within an Affine Framework (2002)Pricing Swaptions Within an A…On the construction of finite dimensional realizations for nonlinear forward rate models (2002)On the construction of finite…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2001)The Dynamics of the Forward I…Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework (2001)Stochastic Correlation and th…Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis (2001)Libor Market Models versus Sw…Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model (2001)Forward rate dependent Markov…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2000)The Dynamics of the Forward I…The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables (1999)The Dynamics of the Forward I…Interest rate theory (1997)Interest rate theoryInterest Rate Risk Management (1997)Interest Rate Risk ManagementA note on the Flesaker-Hughston model of the term structure of interest rates (1997)A note on the Flesaker-Hughst…An Intertemporal Capital Asset Pricing Model (1973)An equilibrium characterization of the term structure (1977)Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences (2008)Optimal Housing, Consumption, and Investment Decisions over the Life Cycle (2011)Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2012)Option pricing: A simplified approach (1979)One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities (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)Theory of Rational Option Pricing (1973)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)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)Martingales and stochastic integrals in the theory of continuous trading (1981)Existence of Lévy term structure models (2007)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)Modeling Term Structures of Defaultable Bonds (1999)Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (2006)Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? (2007)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)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 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
  • 1989An Exact Bond Option Formula731 cited
  • 1991Bond and Option Pricing when Short Rates are Lognormal667 cited

Cited by

  • 2001The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks158 cited
  • 2001Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model137 cited
  • 2003Optimal consumption and investment strategies with stochastic interest rates113 cited
  • 1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables97 cited
  • 2002On the construction of finite dimensional realizations for nonlinear forward rate models96 cited
  • 2003The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions93 cited
  • 1997Interest rate theory92 cited

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2010
A Geometric View of Interest Rate Theory
75 cited
  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited
  • 1997Interest Rate Risk Management55 cited
  • 1997A note on the Flesaker-Hughston model of the term structure of interest rates54 cited
  • 2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields48 cited
  • 2000The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks47 cited
  • 2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis43 cited
  • 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework34 cited