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Bond, futures and option evaluation in the quadratic interest rate model
9 references·13 citing·38 second hop
Bond, futures and option evaluation in the quadratic interest rate model (1996)Bond, futures and option evaluation in th…Theory of rational option pricing (2005)Theory of rational option pri…SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)SOLUTION OF THE EXTENDED CIR …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1 (1992)Pricing Interest Rate Options…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …General Solutions of Some Interest Rate-Contingent Claim Pricing Equations (1991)General Solutions of Some Int…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The relation between forward prices and futures prices (1981)The relation between forward …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model (2018)Exact simulation of the Ornst…Affine multiple yield curve models (2018)Affine multiple yield curve m…Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)Time-changed CIR default inte…Modeling the Term Structure of Interest Rates: A Review of the Literature (2010)Modeling the Term Structure o…Chapter 6 Spectral Methods in Derivatives Pricing (2007)Chapter 6 Spectral Methods in…A dynamic programming approach for pricing options embedded in bonds (2006)A dynamic programming approac…Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility (2003)Linear-Quadratic Jump-Diffusi…The Riccati Equation in Mathematical Finance (2002)The Riccati Equation in Mathe…On the Term Structure of Futures and Forward Prices (2002)On the Term Structure of Futu…Design and Estimation of Quadratic Term Structure Models (2002)Design and Estimation of Quad…Quadratic Term Structure Models (2000)Quadratic Term Structure Mode…Credit Risk Modelling and Credit Derivatives (2000)Credit Risk Modelling and Cre…FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (1995)FACTOR MODELS OF DOMESTIC AND…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Test of the Cox, Ingersoll, and Ross Model of the Term Structure (1993)Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model (2003)Option Pricing: Valuation Models and Applications (2004)On the term structure of interest rates (1978)Which Model for Term-Structure of Interest Rates Should One Use? (1995)Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2008)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2010)The Pricing of Options and Corporate Liabilities (1973)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)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)Arbitrage Theory in Continuous Time (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic Asset Pricing Theory. (1993)Continuous Martingales and Brownian Motion (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach (2013)Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (2016)A General Framework for Time-Changed Markov Processes and Applications (2018)A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)Maximum likelihood estimation of time-inhomogeneous diffusions (2003)Time Dependent Heston Model (2010)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION226 cited
  • 1992Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1182 cited
  • 1991General Solutions of Some Interest Rate-Contingent Claim Pricing Equations136 cited

Cited by

  • 2014Time-changed CIR default intensities with two-sided mean-reverting jumps56 cited
  • 2006A dynamic programming approach for pricing options embedded in bonds49 cited
  • 2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility48 cited
  • 2002On the Term Structure of Futures and Forward Prices47 cited
  • 2007Chapter 6 Spectral Methods in Derivatives Pricing46 cited
  • 2000Quadratic Term Structure Models

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45 cited
  • 2002Design and Estimation of Quadratic Term Structure Models42 cited
  • 2018Affine multiple yield curve models37 cited
  • 2002The Riccati Equation in Mathematical Finance35 cited
  • 1995FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES35 cited
  • 2018Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model31 cited
  • 2000Credit Risk Modelling and Credit Derivatives27 cited
  • 2010Modeling the Term Structure of Interest Rates: A Review of the Literature25 cited