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Market price of risk specifications for affine models: Theory and evidence☆
16 references·16 citing·25 second hopsampled
Market price of risk specifications for affine models: Theory and evidence☆ (2006)Market price of risk specifications for a…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Term Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…Theory of Financial Decision Making. (1988)Theory of Financial Decision …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Resolution of policy uncertainty and sudden declines in volatility (2017)Resolution of policy uncertai…Estimating Shadow-Rate Term Structure Models with Near-Zero Yields (2014)Estimating Shadow-Rate Term S…Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets (2014)Estimating Oil Risk Factors U…Valuation of VIX derivatives (2012)Valuation of VIX derivativesOut-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2012)Out-of-Sample Predictions of …Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields (2010)Term Structure Models and the…Estimating affine multifactor term structure models using closed-form likelihood expansions☆ (2010)Estimating affine multifactor…Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2010)Do Bonds Span Volatility Risk…Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk (2010)Discrete-Time AffineℚTerm Str…Variance Risk-Premium Dynamics: The Role of Jumps (2009)Variance Risk-Premium Dynamic…Can interest rate volatility be extracted from the cross section of bond yields?☆ (2009)Can interest rate volatility …Identification of Maximal Affine Term Structure Models (2008)Identification of Maximal Aff…A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2008)A General Stochastic Volatili…Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates (2007)Habit Formation and Macroecon…Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Valuation and hedging of life…Options and Bubbles (2006)Options and BubblesThe Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Option pricing when underlying stock returns are discontinuous (1976)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited

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2008
A General Version of the Fundamental Theorem of Asset Pricing (1994)
1,568 cited

Cited by

  • 2009Variance Risk-Premium Dynamics: The Role of Jumps323 cited
  • 2010Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields281 cited
  • 2006Valuation and hedging of life insurance liabilities with systematic mortality risk234 cited
  • 2006Options and Bubbles206 cited
  • 2012Valuation of VIX derivatives184 cited
  • 2014Estimating Shadow-Rate Term Structure Models with Near-Zero Yields171 cited
  • 2012Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective169 cited
  • 2010Estimating affine multifactor term structure models using closed-form likelihood expansions☆163 cited
  • 2017Resolution of policy uncertainty and sudden declines in volatility154 cited
  • 2007Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates150 cited
  • 2010Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk145 cited
  • 2008A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives131 cited
  • 2010Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models127 cited
  • 2009Can interest rate volatility be extracted from the cross section of bond yields?☆121 cited
  • 2014Estimating Oil Risk Factors Using Information from Equity and Derivatives Markets121 cited
  • 2008Identification of Maximal Affine Term Structure Models120 cited