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The Term Structure of Interest Rates
16 references·2 citing·23 second hop
The Term Structure of Interest Rates (2009)The Term Structure of Interest RatesStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…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…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of commodity contracts (1976)The pricing of commodity cont…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Value and Capital (1939)Value and CapitalPolynomial Chaos Expansion Approach to Interest Rate Models (2015)Polynomial Chaos Expansion Ap…The Zero-Lower Bound on Interest Rates: Myth or Reality? (2013)The Zero-Lower Bound on Inter…An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Stochastic Differential Equations and Diffusion Processes (1983)Optimum consumption and portfolio rules in a continuous-time model (1971)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1939Value and Capital2,893 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1990Pricing Interest-Rate-Derivative Securities

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Cited by

  • 2015Polynomial Chaos Expansion Approach to Interest Rate Models23 cited
  • 2013The Zero-Lower Bound on Interest Rates: Myth or Reality?10 cited