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WHEN IS THE SHORT RATE MARKOVIAN?

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References

1985A Theory of the Term Structure of Interest Rates8,333 cited
1977An equilibrium characterization of the term structure6,104 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
1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
1990Simple Binomial Processes as Diffusion Approximations in Financial Models379 cited
1990Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation341 cited
1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited

Cited by

1998A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models164 cited
2000The Term Structure of Interest Rates as a Random Field150 cited
1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics132 cited
2003Optimal consumption and investment strategies with stochastic interest rates113 cited
1997Transformation of Heath?Jarrow?Morton models to Markovian systems107 cited
1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables97 cited

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2002On the construction of finite dimensional realizations for nonlinear forward rate models96 cited

1995Lattice Models for Pricing American Interest Rate Claims81 cited

2010A Geometric View of Interest Rate Theory75 cited

2013Parsimonious HJM modelling for multiple yield curve dynamics66 cited

2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields48 cited

2005Unspanned stochastic volatility and fixed income derivatives pricing48 cited

2000Interest rate option pricing with volatility humps46 cited

1997A simple approach to bond option pricing40 cited

2001Classes of Interest Rate Models under the HJM Framework35 cited

2003Generalizing the Affine Framework to HJM and Random Field Models35 cited