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The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach
16 references·0 citing·34 second hop
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach (2008)The volatility structure of the fixed inc…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Estimation of affine asset pricing models using the empirical characteristic function (2001)Estimation of affine asset pr…Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Transition Densities for Inte…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model (1994)Exploiting the Conditional De…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Analyzing Convertible Bonds (1980)Analyzing Convertible BondsAn equilibrium characterization of the term structure (1977)An equilibrium characterizati…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Brownian Motion and Stochastic Calculus (2007)Modeling financial contagion using mutually exciting jump processes (2015)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)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)Theory of rational option pricing (2005)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Nonparametric Pricing of Interest Rate Derivative Securities (1995)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Toolkit for Analysing Nonlinear Dynamic Stochastic Models Easily (2001)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)
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References

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366 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited
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