The potential approach to the term structure of interest rates and foreign exchange rates

Mathematical Finance

Volumn 7, Issue 2, 1997, Pages 157-176

  Rogers, L C G ^a  

^a UNIVERSITY OF BATH   (United Kingdom)

Author keywords

Foreign exchange; Interest rates; Markov process; Potential; Resolvent; Term structure

Indexed keywords

EID: 0031492980     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00029     Document Type: Article

References (29)

1. BABBS, S. (1990): A Family of ItôProcess Models for the Term Structure of Interest Rates, University of Warwick, preprint 90/24, 1990.
2. BABBS, S., and N. WEBBER (1995): Term Structure Modelling under Alternative Official Regimes, FORC preprint 95/61.
3. BEAGLEHOLE, D. R., and M. S. TENNEY (1991): "General Solution of Some Interest Rate-Contingent Claim Pricing Equations," J. Fixed Income 1, 69-83.
4. BLACK, F. E., E. DERMAN, and W. TOY (1990): "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options," Financial Anal. J., 33-39.
5. BRENNAN, M. J., and E. S. SCHWARTZ (1979): "A Continuous Time Approach to the Pricing of Bonds," J. Banking Finance, 3, 133-155.
6. CONSTANTINIDES, G. M. (1992): "A Theory of the Nominal Term Structure of Interest Rates," Rev. Financial Stud., 5, 531-552.
7. Cox, J. C., J. E. INGERSOLL, and S. A. Ross (1985): "A Theory of the Term Structure of Interest Rates," Econometrica 53, 385-408.
8. DUFFIE, D., and R. KAN (1996): "A Yield Factor Model of Interest Rates," Math. Finance, 6, 379-406.
9. DYBVIG, P. H. (1988): "Bond and Bond Option Pricing Based on the Current Term Structure," Washington University working paper.
10. EL KAROUI, N., H. GEMAN, and J.-C. ROCHET (1995): Changes of Numèraire, Changes of Probability Measure, and Options Pricing, J. Appl. Probability, 32, 443-458.
11. EL KAROUI, N., R. MYNENI, and R. VISWANATHAN (1992): "Arbitrage Pricing and Hedging of Interest Claims with State Variables I: Theory," Preprint.
12. FLESAKER, B., and E. P. HUGHSTON (1995): "Positive Interest," Merrill Lynch preprint.
13. FONG, H. G., and O. A. VASICEK (1991): "Interest-Rate Volatility as a Stochastic Factor," Gifford Fong Associates working paper, 1991.
14. GEMAN, H. (1989): "The Importance of the Forward Neutral Probability in a Stochastic Approach of Interest Rates," ESSEC working paper.
15. 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.
16. Ho, T. S. Y., and S.-B. LEE (1986): "Term Structure Movements and Pricing Interest Rate Contingent Claims," J. Finance 41, 1011-1029.
17. HULL, J., and A. WHITE (1990): "Pricing Interest-Rate Derivative Securities," Rev. Financial Stud., 3, 573-592.
18. JAMSHIDIAN, F. (1988): "The One-Factor Gaussian Interest Rate Model: Theory and Implementation," Working paper, Merrill Lynch Capital Markets.
19. JAMSHIDIAN, F. (1989): "An Exact Bond Option Formula," J. Finance, 44, 205-209.
20. KARATZAS, I. (1989): "Optimisation Problems in the Theory of Continuous Trading," SIAM J. Control Optim., 27, 1221-1259.
21. LONGSTAFF, F. A., and E. S. SCHWARTZ (1991): "Interest-Rate Volatility and the Term Structure: A Two Factor General Equilibrium Model," J. Finance, 47, 1259-1282.
22. REVUZ, D., and M. YOR (1991): Continuous Martingales and Brownian Motion. Berlin: Springer.
23. RICHARD, S. F. (1978): "An Arbitrage Model of the Term Structure of Interest Rates," J. Financial Econ. 6, 33-57.
24. ROGERS, L. C. G. (1996): "Gaussian Errors," RISK, 9, 42-45.
25. ROGERS, L. C. G., and D. WILLIAMS (1987): Diffusion Markov Processes and Martingales, Vol. 2, Chichester: Wiley.
26. ROGERS, L. C. G., and D. WILLIAMS (1994): Diffusion Markov Processes and Martingales, Vol. 1, Chichester: Wiley.
27. SAÁ-REQUEJO, J. (1993): "The Dynamics and the Term Structure of Risk Premia in Foreign Exchange Markets," Preprint.
28. SCHAEFER, S. M., and E. S. SCHWARTZ (1987): "Time-Dependent Variance and the Pricing of Bond Options," J. Finance 42, 1113-1128.
29. VASICEK, O. A. (1977): "An Equilibrium Characterization of the Term Structure," J. Financial Econ. 5, 177-188.