SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Market price of risk specifications for affine models: Theory and evidence☆ · Study

ArticleShelves

ArticleMarket price of risk specifications for affine models: Theory and evidence☆

Patrick Cheridito2006

OA

Articlebronze2006

Market price of risk specifications for affine models: Theory and evidence☆

Patrick Cheridito · Damir Filipović · Robert L. Kimmel

326 citations·0/0 files stored·Journal of Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 326 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1977An equilibrium characterization of the term structure 1983Stochastic Differential Equations and Diffusion Processes 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading

Cited by

2009Variance Risk-Premium Dynamics: The Role of Jumps 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields 2006Valuation and hedging of life insurance liabilities with systematic mortality risk 2006Options and Bubbles 2012Valuation of VIX derivatives 2014Estimating Shadow-Rate Term Structure Models with Near-Zero Yields

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Market Price of Risk Specifications for Affine Models: Theory and Evidencepreprint · 20 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 14 shared references 2003Modeling the term structure of interest rates: A new approacharticle · 12 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 11 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 11 shared references 2005Credit risk modeling with affine processesarticle · 11 shared references

Details

Year2006

Typearticle

Published2006-09-08

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations326

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jfineco.2005.09.008

openalex_workW2016090388

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2012Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective

2010Estimating affine multifactor term structure models using closed-form likelihood expansions☆