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SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
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SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (2002)SEPARABLE TERM STRUCTURES AND THE MAXIMAL…Affine processes and applications in finance (2003)Affine processes and applicat…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Consistency Problems for Heat…A general characterization of one factor affine term structure models (2001)A general characterization of…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The Term Structure of Interest Rates (2009)The Term Structure of Interes…Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility (2003)Linear-Quadratic Jump-Diffusi…An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models (2006)Dynamic Portfolio Choice and Risk Aversion (2006)Why the Rotation Count Algorithm Works (2006)The Pricing of Options and Corporate Liabilities (1973)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES (2004)MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)Variance dynamics: Joint evidence from options and high-frequency returns (2010)Dynamic Asset Pricing Theory. (1993)Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Estimation of Dynamic Term Structure Models (2012)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Theory of rational option pricing (2005)Existence of invariant manifolds for stochastic equations in infinite dimension (2003)On the geometry of the term structure of interest rates (2004)Consistent Variance Curve Models (2006)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models296 cited
  • 2002Asset Pricing under the Quadratic Class259 cited
  • 2001A general characterization of one factor affine term structure models129 cited

Cited by

  • 2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility48 cited
  • 2009The Term Structure of Interest Rates28 cited

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