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An alternative approach on the existence of affine realizations for HJM term structure models
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An alternative approach on the existence of affine realizations for HJM term structure models (2010)An alternative approach on the existence …A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…On the geometry of the term structure of interest rates (2004)On the geometry of the term s…Existence of invariant manifolds for stochastic equations in infinite dimension (2003)Existence of invariant manifo…On the construction of finite dimensional realizations for nonlinear forward rate models (2002)On the construction of finite…On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models (2001)On the Existence of Finite‐Di…Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model (2001)Forward rate dependent Markov…Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Consistency Problems for Heat…Minimal realizations of interest rate models (1999)Minimal realizations of inter…Interest Rate Dynamics and Consistent Forward Rate Curves (1999)Interest Rate Dynamics and Co…A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models (1998)A Markovian Framework in Mult…Transformation of Heath?Jarrow?Morton models to Markovian systems (1997)Transformation of Heath?Jarro…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1 (1995)VOLATILITY STRUCTURES OF FORW…Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics (1995)Single Factor Heath-Jarrow-Mo…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…An equilibrium characterization of the term structure (1977)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot (1998)A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)Pricing Interest-Rate-Derivative Securities (1990)Interest Rates and Information Geometry (2001)Chaos and coherence: a new framework for interest–rate modelling (2004)Parsimonious Modeling of Yield Curves (1987)A Note on the Nelson-Siegel Family (1999)Asset Pricing under the Quadratic Class (2002)Realized power variation and stochastic volatility models (2003)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Modeling Term Structures of Defaultable Bonds (1999)Prospect Theory and Asset Prices (2001)Forecasting the Term Structure of Government Bond Yields (2003)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Tails, Fears, and Risk Premia (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)Consistent Variance Curve Models (2006)The Term Structure of Interest Rates as a Random Field (2000)A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives (2008)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models296 cited
  • 1995VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1270 cited
  • 2001On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models209 cited
  • 1998A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models164 cited
  • 1999Minimal realizations of interest rate models146 cited
  • 2001Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model137 cited
  • 1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics132 cited
  • 2003Existence of invariant manifolds for stochastic equations in infinite dimension118 cited
  • 2004On the geometry of the term structure of interest rates110 cited

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1997
Transformation of Heath?Jarrow?Morton models to Markovian systems
107 cited
  • 2002On the construction of finite dimensional realizations for nonlinear forward rate models96 cited
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