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The Theory of the Term Structure of Interest Rates
0 references·14 citing·43 second hopsampled
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  • 2004Arbitrage Theory in Continuous Time940 cited
  • 1982Expectations Models of Asset Prices: A Survey of Theory112 cited
  • 1987The Term Structure of Interest Rates108 cited
  • 1982Optimal Sequential Investment When Capital is Not Readily Reversible107 cited
  • 1982The Determination of Fair Profits for the Property‐Liability Insurance Firm100 cited
  • 2008Forbidden patterns in financial time series83 cited
  • 1980Admissible uncertainty in the intertemporal asset pricing model82 cited
  • 1989Risk Premiums in the Term Structure: Evidence from Artificial Economies60 cited
  • 1980On the Valuation of Federal Loan Guarantees to Corporations59 cited
  • 1981Notes on Multiperiod Valuation and the Pricing of Options37 cited
  • 1981The economics of hedging and spreading in futures markets29 cited
  • 1983AN EMPIRICAL ANALYSIS OF THE PRICING OF MORTGAGE‐BACKED SECURITIES27 cited
  • 2019Stochastic Differential Equations23 cited
  • 2022Hybrid Equity Swap, Cap, and Floor Pricing Under Stochastic Interest by Markov Chain Approximation16 cited

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