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Term-Structure Models: a Review
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited

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  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
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