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Characterizing Gaussian Models of the Term Structure of Interest Rates
1 references·15 citing·34 second hop
Characterizing Gaussian Models of the Term Structure of Interest Rates (1997)Characterizing Gaussian Models of the Ter…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2001)The Dynamics of the Forward I…On the Factor Structure of Bond Returns (2022)On the Factor Structure of Bo…Modelling Electricity Futures by Ambit Fields (2014)Modelling Electricity Futures…On a stochastic heat equation with first order fractional noises and applications to finance (2012)On a stochastic heat equation…Modelling Electricity Forward Markets by Ambit Fields (2011)Modelling Electricity Forward…Unspanned stochastic volatility and fixed income derivatives pricing (2005)Unspanned stochastic volatili…Review Paper. Interest–rate term–structure pricing models: a review (2004)Review Paper. Interest–rate t…On the use of measure-valued strategies in bond markets (2004)On the use of measure-valued …Modeling the term structure of interest rates: A new approach (2003)Modeling the term structure o…Generalizing the Affine Framework to HJM and Random Field Models (2003)Generalizing the Affine Frame…Pricing Swaptions Within an Affine Framework (2002)Pricing Swaptions Within an A…Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework (2001)Stochastic Correlation and th…Quantum field theory of treasury bonds (2001)Quantum field theory of treas…Dynamic Models of the Term Structure (2001)Dynamic Models of the Term St…The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks (2000)The Dynamics of the Forward I…Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market (1999)Throwing Away a Billion Dolla…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)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)A Jump Diffusion Model for Agricultural Commodities with Bayesian Analysis (2013)Derivatives Pricing via Machine Learning (2019)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Arbitrage Theory in Continuous Time (1998)Continuous Martingales and Brownian Motion (1999)Bond market completeness and attainable contingent claims (2005)Stochastic Integration and Differential Equations (2005)Optimal portfolio choice in the bond market (2006)ON INCOMPLETENESS OF BOND MARKETS WITH INFINITE NUMBER OF RANDOM FACTORS (2010)Option valuation using the fast Fourier transform (1999)An introduction to stochastic partial differential equations (2006)Limit theorems for power variations of ambit fields driven by white noise (2014)Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach (2015)A survey of electricity spot and futures price models for risk management applications (2021)Theory of Rational Option Pricing (1973)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Bond Variance Risk Premia (2011)Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)On the Information in the Interest Rate Term Structure and Option Prices (2004)Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market (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)Do interest rate options contain information about excess returns? (2011)A general HJM framework for multiple yield curve modelling (2016)
this work references cited by second hop

References

  • 2001The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks158 cited

Cited by

  • 2002Pricing Swaptions Within an Affine Framework75 cited
  • 2004On the use of measure-valued strategies in bond markets52 cited
  • 2005Unspanned stochastic volatility and fixed income derivatives pricing48 cited
  • 1999Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market47 cited
  • 2000The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks47 cited
  • 2014Modelling Electricity Futures by Ambit Fields41 cited
  • 2012On a stochastic heat equation with first order fractional noises and applications to finance40 cited
  • 2001Quantum field theory of treasury bonds38 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
  • 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
  • 2003Modeling the term structure of interest rates: A new approach31 cited
  • 2022On the Factor Structure of Bond Returns26 cited
  • 2001

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Dynamic Models of the Term Structure
25 cited
  • 2011Modelling Electricity Forward Markets by Ambit Fields24 cited