Articlegreen1998

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

85 citations0/0 files storedJournal of Financial and Quantitative Analysis

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

George J. Jiang, Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 4 (Dec., 1998), pp. 465-497

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 85 citations exist upstream.

References

2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1993Dynamic Asset Pricing Theory.1990Pricing Interest-Rate-Derivative Securities 1988Theory of Financial Decision Making.1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate 1987The Information in Long-Maturity Forward Rates

Cited by

2005The non-linear dynamics of spot freight rates in tanker markets 2002Short-term interest rate dynamics: a spatial approach 2010Threshold estimation of Markov models with jumps and interest rate modeling 2005A comprehensive analysis of the short-term interest-rate dynamics 2008NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.