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Asset and Liability Management Handbook
16 references·0 citing·29 second hop
Asset and Liability Management Handbook (2011)Asset and Liability Management HandbookIntroduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingTerm Premia and Interest Rate Forecasts in Affine Models (2002)Term Premia and Interest Rate…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Specification Analysis of Affine Term Structure Models (2000)Specification Analysis of Aff…A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)A YIELD‐FACTOR MODEL OF INTER…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Common Factors Affecting Bond Returns (1991)Common Factors Affecting Bond…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Term Structure Movements and …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Option pricing: A simplified approach (1979)Option pricing: A simplified …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Forecasting the Term Structure of Government Bond Yields (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Linear Programming under Uncertainty (1955)Chance-Constrained Programming (1959)Global carbon emissions in 2023 (2024)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Theory and Applications of Robust Optimization (2011)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Prospect Theory and Asset Prices (2001)The Determinants of Credit Spread Changes (2001)Credit Spreads and Business Cycle Fluctuations (2012)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2011Introduction to Stochastic Programming6,490 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 2010Stochastic Programming2,245 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 2000Specification Analysis of Affine Term Structure Models1,708 cited
  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 2001Interest Rate Models Theory and Practice

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