SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
12 references·4 citing·40 second hop
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (2008)Yield curve shapes and the asymptotic sho…Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (2006)Interest Rate Models: an Infi…Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (2005)Equivalent and Absolutely Con…Equivalent and absolutely continuous measure changes for jump-diffusion processes (2005)Equivalent and absolutely con…Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Option Pricing in Stochastic …Affine processes and applications in finance (2003)Affine processes and applicat…A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL (2002)A GENERAL PROOF OF THE DYBVIG…Risk and Valuation of Collateralized Debt Obligations (2001)Risk and Valuation of Collate…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…A general characterization of one factor affine term structure models (2001)A general characterization of…Interest-rate option models (1996)Interest-rate option modelsA Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work (2021)Interest rates forecasting: B…Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling (2016)Alpha-CIR Model with Branchin…THE WISHART SHORT RATE MODEL (2012)THE WISHART SHORT RATE MODELTHE AFFINE LIBOR MODELS (2012)THE AFFINE LIBOR MODELSThe Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)Realized power variation and stochastic volatility models (2003)Analysis of Fourier Transform Valuation Formulas and Applications (2010)Asymptotic analysis for stochastic volatility: martingale expansion (2010)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)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Credit Risk Modeling (2004)Economic Catastrophe Bonds (2008)Did Subjectivity Play a Role in CDO Credit Ratings? (2011)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Limit Theorems for Stochastic Processes (2003)No Arbitrage and General Semimartingales (2008)On strong solutions for positive definite jump diffusions (2011)Portfolios and risk premia for the long run (2012)Common factors in international bond returns (2003)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)Interest‐Rate Modelling (2014)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Optimal portfolio choice in the bond market (2006)Existence of Lévy term structure models (2007)Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity (2010)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 2001Risk and Valuation of Collateralized Debt Obligations599 cited
  • 1996Interest-rate option models275 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 2006Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective170 cited
  • 2001A general characterization of one factor affine term structure models129 cited
  • 2005Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes97 cited
  • 2005Equivalent and absolutely continuous measure changes for jump-diffusion processes95 cited
  • 2002A GENERAL PROOF OF THE DYBVIG‐INGERSOLL‐ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL61 cited

Cited by

  • 2012THE AFFINE LIBOR MODELS39 cited
  • 2021Interest rates forecasting: Between Hull and White and the CIR#—How to make a single‐factor model work30 cited
  • 2012THE WISHART SHORT RATE MODEL

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

28 cited
  • 2016Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling23 cited