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FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
11 references·3 citing·33 second hop
FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (1995)FACTOR MODELS OF DOMESTIC AND FOREIGN INT…Bond, futures and option evaluation in the quadratic interest rate model (1996)Bond, futures and option eval…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…A simple class of square-root interest-rate models (1995)A simple class of square-root…Option and Futures Evaluation With Deterministic Volatilities1 (1993)Option and Futures Evaluation…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ARCH modeling in finance (1992)ARCH modeling in financePricing foreign currency options under stochastic interest rates (1991)Pricing foreign currency opti…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 …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 …Specification Analysis of International Treasury Yield Curve Factors (2014)Specification Analysis of Int…FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (2008)FOREIGN EXCHANGE OPTIONS UNDE…A cross-currency Lévy market model (2006)A cross-currency Lévy market …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)An Intertemporal Capital Asset Pricing Model (1973)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)Theory of Rational Option Pricing (1973)Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility (2003)Theory of rational option pricing (2005)A dynamic programming approach for pricing options embedded in bonds (2006)Time-changed CIR default intensities with two-sided mean-reverting jumps (2014)Stochastic Differential Equations and Applications (1976)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Quadratic Term Structure Models (2000)SELF EXCITING THRESHOLD INTEREST RATES MODELS (2006)An equilibrium characterization of the term structure (1977)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Stochastic Differential Equations and Diffusion Processes (1983)20 Testing option pricing models (1995)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)The intersection of market and credit risk (2000)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)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)Modeling Term Structures of Defaultable Bonds (1999)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1991Pricing foreign currency options under stochastic interest rates349 cited
  • 1996Bond, futures and option evaluation in the quadratic interest rate model86 cited
  • 1995A simple class of square-root interest-rate models57 cited
  • 1993Option and Futures Evaluation With Deterministic Volatilities153 cited

Cited by

  • 2006A cross-currency Lévy market model25 cited
  • 2008FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES25 cited
  • 2014Specification Analysis of International Treasury Yield Curve Factors22 cited

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