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The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
16 references·4 citing·32 second hop
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References

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  • 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON250 cited
  • 1996Long Forward and Zero-Coupon Rates Can Never Fall

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208 cited
  • 2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence203 cited
  • Cited by

    • 2004On the Information in the Interest Rate Term Structure and Option Prices40 cited
    • 2003Generalizing the Affine Framework to HJM and Random Field Models35 cited
    • 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework34 cited
    • 2003Likelihood inference for a discretely observed stable processde28 cited