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Interest rate term structure modelling
16 references·1 citing·31 second hop
Interest rate term structure modelling (2011)Interest rate term structure modellingNumerical solution of stochastic differential equations (2016)Numerical solution of stochas…Interest‐Rate Modelling (2014)Interest‐Rate ModellingInterest Rate Models An Introduction (2010)Interest Rate Models An Intro…Interest rate models : theory and practice : with smile, inflation and credit (2006)Interest rate models : theory…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Financial Derivatives in Theory and Practice (2004)Financial Derivatives in Theo…Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)Pricing Treasury Inflation Pr…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates (1997)Closed Form Solutions for Ter…Interest-rate option models (1996)Interest-rate option modelsChanges of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Stochastic string models with continuous semimartingales (2015)Stochastic string models with…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)A Jump-Diffusion Model for Option Pricing (2002)Basel Committee On Banking Supervision (2010)Theory of Rational Option Pricing (1973)Brownian Motion and Stochastic Calculus (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)Arbitrage Theory in Continuous Time (2004)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Handbook of Financial Engineering (2008)COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION (2009)ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2012)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 2006Interest rate models : theory and practice : with smile, inflation and credit742 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates605 cited
  • 2004Financial Derivatives in Theory and Practice425 cited
  • 1996Interest-rate option models279 cited
  • 2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model211 cited
  • 2014Interest‐Rate Modelling190 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates163 cited

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  • 2010Interest Rate Models An Introduction156 cited
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    • 2015Stochastic string models with continuous semimartingales20 cited