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A Theory of the Nominal Term Structure of Interest Rates
15 references·16 citing·31 second hop
A Theory of the Nominal Term Structure of Interest Rates (1992)A Theory of the Nominal Term Structure of…Term Structure of Interest Rates (2008)Term Structure of Interest Ra…Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Maximum Likelihood Estimation…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …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…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaThe Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A continuous time approach to the pricing of bonds (1979)A continuous time approach to…On the term structure of interest rates (1978)On the term structure of inte…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2017)Inflation Bets or Deflation H…Estimation of Dynamic Term Structure Models (2012)Estimation of Dynamic Term St…Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)Returns of claims on the upsi…Affine Term Structure Models (2010)Affine Term Structure ModelsStochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (2007)Stochastic risk premiums, sto…Stock and Bond Returns with Moody Investors (2006)Stock and Bond Returns with M…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…A General Formula for Valuing Defaultable Securities (2004)A General Formula for Valuing…Term Structure Dynamics in Theory and Reality (2003)Term Structure Dynamics in Th…Short rate nonlinearities and regime switches (2002)Short rate nonlinearities and…Asset Pricing under the Quadratic Class (2002)Asset Pricing under the Quadr…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…A Parametric Nonlinear Model of Term Structure Dynamics (1999)A Parametric Nonlinear Model …SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)SOLUTION OF THE EXTENDED CIR …Consumption and Portfolio Decisions When Expected Returns are Time Varying (1996)Consumption and Portfolio Dec…Stochastic Volatility Option Pricing (1994)Stochastic Volatility Option …Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. 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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
  • 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
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1979A continuous time approach to the pricing of bonds796 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1978On the term structure of interest rates659 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1993Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates552 cited
  • 2008Term Structure of Interest Rates

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524 cited

Cited by

  • 2010Affine Term Structure Models384 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 2003Term Structure Dynamics in Theory and Reality367 cited
  • 1999A Parametric Nonlinear Model of Term Structure Dynamics335 cited
  • 1996Consumption and Portfolio Decisions When Expected Returns are Time Varying315 cited
  • 1994Stochastic Volatility Option Pricing306 cited
  • 2002Asset Pricing under the Quadratic Class259 cited
  • 1996SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION226 cited
  • 2017Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds214 cited
  • 2012Estimation of Dynamic Term Structure Models206 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2006Stock and Bond Returns with Moody Investors199 cited
  • 2010Returns of claims on the upside and the viability of U-shaped pricing kernels☆192 cited
  • 2007Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies191 cited
  • 2002Short rate nonlinearities and regime switches185 cited
  • 2004A General Formula for Valuing Defaultable Securities181 cited