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A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models
11 references·16 citing·37 second hop
A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models (1998)A Markovian Framework in Multi-Factor Hea…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…WHEN IS THE SHORT RATE MARKOVIAN? 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this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 1980A Multivariate Model of the Term Structure223 cited
  • 1994WHEN IS THE SHORT RATE MARKOVIAN?196 cited

Cited by

  • 2000The Term Structure of Interest Rates as a Random Field150 cited
  • 2001Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model137 cited
  • 2008A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives131 cited
  • 2002

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On the construction of finite dimensional realizations for nonlinear forward rate models
96 cited
  • 2010Pricing the term structure of inflation risk premia: Theory and evidence from TIPS84 cited
  • 2007Existence of Lévy term structure models77 cited
  • 2010A Geometric View of Interest Rate Theory75 cited
  • 2007A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives54 cited
  • 2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields48 cited
  • 2001Classes of Interest Rate Models under the HJM Framework35 cited
  • 2003Generalizing the Affine Framework to HJM and Random Field Models35 cited
  • 2010Simulation of coupon bond European and barrier options in quantum finance34 cited
  • 2000Valuation of a Credit Swap of the Basket Type34 cited
  • 2001Pricing Equity Swaps in a Stochastic Interest Rate Economy34 cited
  • 2000Evaluation of credit risk of a portfolio with stochastic interest rate and default processes33 cited
  • 2004On the Geometry of Interest Rate Models31 cited