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The Term Structure of Interest Rates in a Hidden Markov Setting
6 references·1 citing·27 second hop
The Term Structure of Interest Rates in a Hidden Markov Setting (2007)The Term Structure of Interest Rates in a…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…The Central Tendency: A Second Factor in Bond Yields (1998)The Central Tendency: A Secon…The Cyclical Behavior of Interest Rates (1997)The Cyclical Behavior of Inte…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Longevity bond pricing under stochastic interest rate and mortality with regime-switching (2012)Longevity bond pricing under …Modeling and Forecasting U. S. Mortality (1992)A Poisson log-bilinear regression approach to the construction of projected lifetables (2002)A cohort-based extension to the Lee–Carter model for mortality reduction factors (2006)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The equity premium: A puzzle (1985)The impact of bank entry in the Japanese corporate bond underwriting market (2005)On Markov‐modulated Exponential‐affine Bond Price Formulae (2008)The Yield Curve as a Leading Indicator: Frequently Asked Questions (2008)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Nonlinear Mean Reversion in the Short-Term Interest Rate (2003)The Behavior of Interest Rates (2006)Liquidity and Arbitrage in the Market for Credit Risk (2011)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Stock Trading: An Optimal Selling Rule (2001)Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1999Mathematics of Financial Markets338 cited
  • 1998The Central Tendency: A Second Factor in Bond Yields145 cited
  • 1997The Cyclical Behavior of Interest Rates39 cited

Cited by

  • 2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching31 cited

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