A yield-factor model of interest rates

Mathematical Finance

Volumn 6, Issue 4, 1996, Pages 379-406

  Duffie, Darrell ^a   Kan, Rui ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030305091     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1996.tb00123.x     Document Type: Article

References (53)

1. AMES, W. (1977): Numerical Methods For Partial Differential Equations, 2nd ed. New York: Academic Press.
2. ANSEL, J.-P., and C. STRICKER (1991): "Lois de Martingale, Densités et Décompositions de Föllmer Schweizer," Université de Franche-Comté.
3. BEAGLEHOLE, D., and M. TENNEY (1991): "General Solutions of Some Interest Rate Contingent Claim Pricing Equations," J. Fixed Income, 1, 69-83.
4. BLACK, F., E. DERMAN, and W. TOY (1990): "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options," Financial Anal. J., Jan.-Feb., 33-39.
5. BLACK, F., and M. SCHOLES (1973): "The Pricing of Options and Corporate Liabilities," J. Polit. Econ., 81, 637-654.
6. BRENNAN, M., and E. SCHWARTZ (1979): "A Continuous Time Approach to the Pricing of Bonds," J. Bank. Finance, 3, 133-155.
7. BROWN, R., and S. SCHAEFER (1993): "Interest Rate Volatility and the Term Structure of Interest Rates," Phil. Trans. R. Soc.: Phys. Sci. Eng., 347, 563-576.
8. CHAN, Y.-K. (1992): "Term Structure as a Second Order Dynamical System and Pricing of Derivative Securities," Bear Stearns and Company.
9. CHEN, L. (1995): "Stochastic Mean and Stochastic Volatility: A Three-Factor Model of the Term Structure and Its Application in Pricing of Interest Rate Derivatives," working paper, Federal Reserve Board, Washington DC.
10. CHEN, R.-R., and L. SCOTT (1992): "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Rev. Financial Stud., 5, 613-636.
11. CHEN, R.-R., and L. SCOTT (1993a): "Maximum Likelihood Estimation for a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates," J. of Fixed Income, December, 14-31.
12. CHEN, R.-R., and L. SCOTT (1993b): "Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a State-Space Model Using a Kalman Filter," working paper, Rutgers University and University of Georgia.
13. CONSTANTINIDES, G. (1992): "A Theory of the Nominal Structure of Interest Rates," Rev. Financial Stud., 5, 531-552.
14. COX, J., J. INGERSOLL, and S. ROSS (1985a): "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-408.
15. COX, J., J. INGERSOLL, and S. ROSS (1985b): "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, 53, 363-384.
16. DAS, S. (1993): "Jump-Diffusion Processes and the Bond Markets," working paper, Harvard Business School, revised November 1994.
17. DOTHAN, M. (1978): "On the Term Structure of Interest Rates," J. Financial Econ., 7, 229-264.
18. DUFFIE, D. (1996): Dynamic Asset Pricing Theory, 2nd ed. Princeton, NJ: Princeton University Press.
19. DUFFIE, D., J. MA, and J. YONG (1995): "Black's Consol Rate Conjecture," Ann. Appl. Probab., 5, 356-382.
20. DUFFIE, D., and K. SINGLETON (1995): "An Econometric Model of The Term Structure of Interest Rate Swap Yields," working paper, Graduate School of Business, Stanford University.
21. EL KAROUI, N., and V. LACOSTE (1992): "Multifactor Models of the Term Structure of Interest Rates," AFFI Conference Proceedings, Paris.
22. EL KAROUI, N., R. MYNENI, and R. VISWANATHAN (1992): "Arbitrage Pricing and Hedging of Interest Rate Claims with State Variables: I Theory," Working Paper, January, University of Paris VI.
23. EL KAROUI, N., and J.-C. ROCHET (1989): "A Pricing Formula for Options on Coupon Bonds," Working Paper, October, University of Paris VI.
24. FRACHOT, A., D. JANCI, and V. LACOSTE (1992): "Factor Analysis of the Term Structure: A Probabilistic Approach," Banque de France.
25. FRACHOT, A., and J.-P. LESNE (1993): "Econometrics of Linear Factor Models of Interest Rates," Banque de France.
26. FRIEDMAN, A. (1975): Stochastic Differential Equations and Applications, Vol. 1. New York: Academic Press.
27. HARRISON, M., and D. KREPS (1979): "Martingales and Arbitrage in Multiperiod Security Markets," J. Econ. Theory, 20, 381-408.
28. HARRISON, M., and S. PLISKA (1981): "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stoch. Process. Appl., 11, 215-260.
29. HEATH, D., R. JARROW, and A. MORTON (1992): "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, 60, 77-105.
30. HESTON, S. (1991): "Testing Continuous-Time Models of the Term Structure of Interest Rates," School of Organization and Management, Yale University.
31. HO, T., and S. LEE (1986): "Term Structure Movements and Pricing Interest Rate Contingent Claims," J. Finance, 41, 1011-1029.
32. HOHN, F. E. (1964): Elementary Matrix Algebra, 2nd ed. New York: Macmillan.
33. HUANG, C.-F. (1987): "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, 55, 117-142.
34. HULL, J., and A. WHITE (1990): "Pricing Interest Rate Derivative Securities," Rev. Financial Stud., 3, 573-592.
35. IKEDA, N., and S. WATANABE (1981): Stochastic Differential Equations and Diffusion Processes. Amsterdam: North-Holland.
36. JAMSHIDIAN, F. (1989): "An Exact Bond Option Formula," J. Finance, 44, 205-209.
37. JAMSHIDIAN, F. (1991): "Bond and Option Evaluation in the Gaussian Interest Rate Model and Implementation," Res. Finance, 9, 131-170.
38. JAMSHIDIAN, F. (1992): "A Simple Class of Square-Root Interest Rate Models," working paper, Fuji International, London.
39. JAMSHIDIAN, F. (1993): "Bond, Futures and Option Evaluation in the Quadratic Interest Rate Model," working paper, Fuji International, London.
40. LANGETIEG, T. (1980): "A Multivariate Model of the Term Structure of Interest Rates," J. Finance, 35, 71-97.
41. LITTERMAN, R., and J. SCHEINKMAN (1988): "Common Factors Affecting Bond Returns," Research Paper, Goldman Sachs Finanical Strategies Group.
42. LONGSTAFF, F., and E. SCHWARTZ (1992): "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," J. Finance, 47, 1259-1282.
43. MUSIELA, M. (1994): "Stochastic PDEs and Term Structure Models," working paper, School of Mathematics, University of New South Wales, Australia.
44. NIELSEN, L. T., and J. SAÁ-REQUEJO (1992): "Exchange Rate and Term Structure Dynamics and the Pricing of Derivative Securities," INSEAD working paper.
45. PEARSON, N., and T.-S. SUN (1994): "Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, Ross Model," J. Finance, 49, 1279-1304.
46. PENNACHI, G. (1991): "Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data," Rev. Financial Stud., 4, 53-86.
47. PRESS, W., B. FLANNERY, S. TEUKOLSKY, and W. VETTERLING (1988): Numerical Recipes in C. Cambridge University Press.
48. PROTTER, P. (1990): Stochastic Integration and Differential Equations. New York: Springer-Verlag.
49. RICHARD, S. (1978): "An Arbitrage Model of the Term Structure of Interest Rates," J. Financial Econ., 6, 33-57.
50. ROGERS, C. (1995): "Which Model for the Term Structure of Interest Rates Should One Use?" In Mathematical Finance, ed. M. Davis, D. Duffie, W. Fleming, and S. Shreve. New York: Springer-Verlag, 93-116.
51. STAMBAUGH, R. (1988): "The Information in Forward Rates: Implications for Models of the Term Structure," J. Financial Econ., 21, 41-70.
52. VASICEK, O. (1977): "An Equilibrium Characterization of the Term Structure," J. Financial Econ., 5, 177-188.
53. VASICEK, O. (1995): "The Finite Factor Model of Bond Prices," Working Paper, KMV Corporation, San Francisco.