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SELF EXCITING THRESHOLD INTEREST RATES MODELS
16 references·4 citing·35 second hop
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 19965 Stochastic volatility1,189 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 1995Interest Rates as Options428 cited
  • 1999Transition Densities for Interest Rate and Other Nonlinear Diffusions347 cited

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1989
Computing the Constant Elasticity of Variance Option Pricing Formula
316 cited

Cited by

  • 2007Chapter 6 Spectral Methods in Derivatives Pricing46 cited
  • 2014Skew Ornstein–Uhlenbeck processes and their financial applications35 cited
  • 2015Quasi-likelihood estimation of a threshold diffusion process34 cited
  • 2018Statistical estimation of the Oscillating Brownian Motion32 cited