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Analytic valuation formulas for range notes and an affine term structure model with jump risks
16 references·2 citing·33 second hopsampled
Analytic valuation formulas for range notes and an affine term structure model with jump risks (2010)Analytic valuation formulas for range not…Affine Term Structure Models (2010)Affine Term Structure ModelsThe Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…The surprise element: jumps in interest rates (2002)The surprise element: jumps i…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Estimating continuous-time st…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Exploiting the Conditional De…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…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…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Quantum Field Theory for Economics and Finance (2018)Quantum Field Theory for Econ…Pricing of range accrual swap in the quantum finance Libor Market Model (2014)Pricing of range accrual swap…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Common Factors Affecting Bond Returns (1991)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)The Term Structure of Real Rates and Expected Inflation (2007)A New Perspective on Gaussian Dynamic Term Structure Models (2010)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Theory of rational option pricing (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Term Premia and Interest Rate Forecasts in Affine Models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Basel Committee On Banking Supervision (2010)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 1997Estimating continuous-time stochastic volatility models of the short-term interest rate500 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 1994Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model394 cited
  • 2010Affine Term Structure Models384 cited
  • 2002The surprise element: jumps in interest rates

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337 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited
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    • 2014Pricing of range accrual swap in the quantum finance Libor Market Model33 cited
    • 2018Quantum Field Theory for Economics and Finance32 cited