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On the term structure of interest rates

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References

1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1977An equilibrium characterization of the term structure6,104 cited
1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited

Cited by

1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
1992Waiting to Invest: Investment and Uncertainty516 cited
1993One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities470 cited
1992A Theory of the Nominal Term Structure of Interest Rates387 cited
1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
1981Valuation of GNMA Mortgage-Backed Securities322 cited
1994Stochastic Volatility Option Pricing306 cited
1996Another Look at Models of the Short-Term Interest Rate306 cited
1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter267 cited
1986Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy

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263 cited

1989A nonlinear general equilibrium model of the term structure of interest rates244 cited

1982The Pricing of Options on Default-Free Bonds239 cited

1997Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates230 cited

1980A Multivariate Model of the Term Structure223 cited

2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts216 cited