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Interest Rate and Some of Its Applications
4 references·0 citing·20 second hop
Interest Rate and Some of Its Applications (2023)Interest Rate and Some of Its ApplicationsExpensive martingales (2006)Expensive martingalesA characterization of hedging portfolios for interest rate contingent claims (2004)A characterization of hedging…Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Brownian Motion and Stochastic Calculus (1988)The Malliavin Calculus and Related Topics (1995)On the use of measure-valued strategies in bond markets (2004)Optimal portfolio choice in the bond market (2006)Exponential moments for HJM models with jumps (2007)The Pricing of Options and Corporate Liabilities (1973)Empirical Performance of Alternative Option Pricing Models (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-parametric calibration of jump–diffusion option pricing models (2004)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Statistical Arbitrage in the U.S. Equities Market (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Tangent Lévy market models (2011)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2002Dynamics of implied volatility surfaces433 cited
  • 2004A characterization of hedging portfolios for interest rate contingent claims69 cited
  • 2006Expensive martingales28 cited

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