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Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask
16 references·2 citing·30 second hop
Everything You Always Wanted to Know about Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask (2013)Everything You Always Wanted to Know abou…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Interest Rate Models — Theory and Practice (2006)Interest Rate Models — Theory…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…New techniques to extract market expectations from financial instruments (1997)New techniques to extract mar…New Techniques to Extract Market Expectations from Financial Instruments (1997)New Techniques to Extract Mar…Interest-rate option models (1996)Interest-rate option modelsDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…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 …Affine multiple yield curve models (2018)Affine multiple yield curve m…A General HJM Framework for Multiple Yield Curve Modeling (2014)A General HJM Framework for M…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Prospect theory: An analysis of decision under risk (1988)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2006Interest Rate Models — Theory and Practice311 cited
  • 1996Interest-rate option models275 cited
  • 1997New Techniques to Extract Market Expectations from Financial Instruments233 cited
  • 1997New techniques to extract market expectations from financial instruments197 cited

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Cited by

  • 2014A General HJM Framework for Multiple Yield Curve Modeling40 cited
  • 2018Affine multiple yield curve models37 cited