Article1992

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

3,170 citations0/0 files storedEconometrica

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

David Heath, Robert Jarrow, Andrew Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 77-105

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References

1985A Theory of the Term Structure of Interest Rates 1983Stochastic Differential Equations and Diffusion Processes 1981Martingales and stochastic integrals in the theory of continuous trading

Cited by

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1999Modeling Term Structures of Defaultable Bonds 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 1990Pricing Interest-Rate-Derivative Securities 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 2002A Jump-Diffusion Model for Option Pricing 2003Forecasting the Term Structure of Government Bond Yields 2010Basel Committee On Banking Supervision

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