-
1
-
-
0030369366
-
Nonparametric Pricing of Interest Rate Derivative Securities
-
Aït-Sahalia, Y., 1996a, "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, 64, 527-560.
-
(1996)
Econometrica
, vol.64
, pp. 527-560
-
-
Aït-Sahalia, Y.1
-
2
-
-
0242670422
-
Testing Continuous-Time Models of the Spot Interest Rate
-
Aït-Sahalia, Y., 1996b, "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, 9, 385-426.
-
(1996)
Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Aït-Sahalia, Y.1
-
3
-
-
84977725190
-
Jump-Diffusion Processes and the Term Structure of Interest Rates
-
Ahn, C.-M., and H. E. Thompson, 1988, "Jump-Diffusion Processes and the Term Structure of Interest Rates," Journal of Finance, 43, 155-174.
-
(1988)
Journal of Finance
, vol.43
, pp. 155-174
-
-
Ahn, C.-M.1
Thompson, H.E.2
-
4
-
-
0033410115
-
A Parametric Nonlinear Model of Term Structure Dynamics
-
Ahn, D.-H., and B. Gao, 1999, "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, 12, 721-762.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 721-762
-
-
Ahn, D.-H.1
Gao, B.2
-
5
-
-
0003894785
-
-
unpublished manuscript, Aarhus University
-
Andersen, T. G., and J. Lund, 1997, "Stochastic Volatility and Mean Drift in the Short Rate Diffusion: Sources of Steepness, Level, and Curvature in the Yield Curve," unpublished manuscript, Aarhus University.
-
(1997)
Stochastic Volatility and Mean Drift in the Short Rate Diffusion: Sources of Steepness, Level, and Curvature in the Yield Curve
-
-
Andersen, T.G.1
Lund, J.2
-
6
-
-
0030545288
-
Dynamic Spanning: Are Options an Appropriate Instrument?
-
Bajeux-Besnainou, I., and J.-C. Rochet, 1996, "Dynamic Spanning: Are Options an Appropriate Instrument?" Mathematical Finance, 6, 1-16.
-
(1996)
Mathematical Finance
, vol.6
, pp. 1-16
-
-
Bajeux-Besnainou, I.1
Rochet, J.-C.2
-
7
-
-
0034412341
-
Do Call Prices and the Underlying Stock Always Move in the Same Direction?
-
Bakshi, G., C. Cao, and Z. Chen, 2000, "Do Call Prices and the Underlying Stock Always Move in the Same Direction?" Review of Financial Studies, 13, 549-584.
-
(2000)
Review of Financial Studies
, vol.13
, pp. 549-584
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
8
-
-
0005792393
-
A Simple Approach to Three Factor Affine Term Structure Models
-
Balduzzi, P., S. R. Das, S. Foresi, and R. K. Sundaram, 1996, "A Simple Approach to Three Factor Affine Term Structure Models," Journal of Fixed Income, 6, 43-53.
-
(1996)
Journal of Fixed Income
, vol.6
, pp. 43-53
-
-
Balduzzi, P.1
Das, S.R.2
Foresi, S.3
Sundaram, R.K.4
-
9
-
-
0041112890
-
General Properties of Option Prices
-
Bergman, Y. Z., B. D. Grundy, and Z. Wiener, 1996, "General Properties of Option Prices," Journal of Finance, 51, 1573-1610.
-
(1996)
Journal of Finance
, vol.51
, pp. 1573-1610
-
-
Bergman, Y.Z.1
Grundy, B.D.2
Wiener, Z.3
-
10
-
-
85015692260
-
The Pricing of Options and Corporate Liabilities
-
Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-659.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
11
-
-
0039894654
-
-
unpublished manuscript, University of California, Berkeley
-
Boudoukh, J., M. Richardson, R. Stanton, and R. F. Whitelaw, 1998, "The Stochastic Behavior of Interest Rates: Implications from a Multifactor, Nonlinear Continuous-Time Model," unpublished manuscript, University of California, Berkeley.
-
(1998)
The Stochastic Behavior of Interest Rates: Implications from a Multifactor, Nonlinear Continuous-time Model
-
-
Boudoukh, J.1
Richardson, M.2
Stanton, R.3
Whitelaw, R.F.4
-
12
-
-
84977707412
-
An Empirical Comparison of Alternative Models of Short-Term Interest Rate
-
Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, "An Empirical Comparison of Alternative Models of Short-Term Interest Rate," Journal of Finance, 47, 1209-1228.
-
(1992)
Journal of Finance
, vol.47
, pp. 1209-1228
-
-
Chan, K.C.1
Karolyi, G.A.2
Longstaff, F.A.3
Sanders, A.B.4
-
13
-
-
0033416235
-
Using Proxies for the Short Rate: When are Three Months like an Instant?
-
Chapman, D. A., J. B. Long, and N. D. Pearson, 1999, "Using Proxies for the Short Rate: When Are Three Months like an Instant?" Review of Financial Studies, 12, 763-806.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 763-806
-
-
Chapman, D.A.1
Long, J.B.2
Pearson, N.D.3
-
14
-
-
0042428116
-
-
Lecture Notes in Economics and Mathematical Systems no. 435, Springer, Berlin
-
Chen, L., 1996, Interest Rate Dynamics, Derivative Pricing, and Risk Management, Lecture Notes in Economics and Mathematical Systems no. 435, Springer, Berlin.
-
(1996)
Interest Rate Dynamics, Derivative Pricing, and Risk Management
-
-
Chen, L.1
-
15
-
-
0034196104
-
A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk-Neutral Measures for the Purpose of Options Valuation
-
Chernov, M., and E. Ghysels, 2000, "A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk-Neutral Measures for the Purpose of Options Valuation," Journal of Financial Economics, 56, 407-458.
-
(2000)
Journal of Financial Economics
, vol.56
, pp. 407-458
-
-
Chernov, M.1
Ghysels, E.2
-
16
-
-
0031502658
-
Short-Term Interest Rates as Subordinated Diffusions
-
Conley, T. G., L. P. Hansen, E. G. J. Luttmer, and J. A. Scheinkman, 1997, "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, 10, 525-577.
-
(1997)
Review of Financial Studies
, vol.10
, pp. 525-577
-
-
Conley, T.G.1
Hansen, L.P.2
Luttmer, E.G.J.3
Scheinkman, J.A.4
-
17
-
-
0001205798
-
A Theory of the Term Structure of Interest Rates
-
Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, "A Theory of the Term Structure of Interest Rates," Econometrica, 53, 385-407.
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.C.1
Ingersoll, J.E.2
Ross, S.A.3
-
18
-
-
84869459663
-
A Survey of Some New Results in Financial Option Pricing Theory
-
Cox, J. C., and S. A. Ross, 1976, "A Survey of Some New Results in Financial Option Pricing Theory," Journal of Finance, 31, 383-402.
-
(1976)
Journal of Finance
, vol.31
, pp. 383-402
-
-
Cox, J.C.1
Ross, S.A.2
-
19
-
-
0008766361
-
Specification Analysis of Affine Term Structure Models
-
Dai, Q., and K. J. Singleton, 2000, "Specification Analysis of Affine Term Structure Models," Journal of Finance, 55, 1943-1978.
-
(2000)
Journal of Finance
, vol.55
, pp. 1943-1978
-
-
Dai, Q.1
Singleton, K.J.2
-
21
-
-
0004018246
-
-
Princeton University Press, Princeton, NJ
-
Duffie, D., 1996, Dynamic Asset Pricing Theory, 2nd ed., Princeton University Press, Princeton, NJ.
-
(1996)
Dynamic Asset Pricing Theory, 2nd Ed.
-
-
Duffie, D.1
-
22
-
-
0001668150
-
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
-
Duffie, D., J. Pan, and K. Singleton, 2000, "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, 68, 1343-1376.
-
(2000)
Econometrica
, vol.68
, pp. 1343-1376
-
-
Duffie, D.1
Pan, J.2
Singleton, K.3
-
23
-
-
0033416234
-
Modeling Term Structures of Defaultable Bonds
-
Duffie, D., and K. Singleton, 1999, "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12, 687-720.
-
(1999)
Review of Financial Studies
, vol.12
, pp. 687-720
-
-
Duffie, D.1
Singleton, K.2
-
24
-
-
0040843308
-
Call Options, Points, and Dominance Restrictions on Debt Contracts
-
Dunn, K. B., and C. S. Spatt, 1999, "Call Options, Points, and Dominance Restrictions on Debt Contracts," Journal of Finance, 54, 2317-2337.
-
(1999)
Journal of Finance
, vol.54
, pp. 2317-2337
-
-
Dunn, K.B.1
Spatt, C.S.2
-
25
-
-
0010590729
-
Long Forward and Zero-Coupon Rates Can Never Fall
-
Dybvig, P., J. E. Ingersoll, Jr., and S. A. Ross, 1996, "Long Forward and Zero-Coupon Rates Can Never Fall," Journal of Business, 69, 1-25.
-
(1996)
Journal of Business
, vol.69
, pp. 1-25
-
-
Dybvig, P.1
Ingersoll Jr., J.E.2
Ross, S.A.3
-
26
-
-
0032370696
-
Robustness of the Black and Scholes Formula
-
El Karoui, N., M. Jeanblanc-Picqué, and S. E. Shreve, 1998, "Robustness of the Black and Scholes Formula," Mathematical Finance, 8, 93-126.
-
(1998)
Mathematical Finance
, vol.8
, pp. 93-126
-
-
El Karoui, N.1
Jeanblanc-Picqué, M.2
Shreve, S.E.3
-
27
-
-
0039946495
-
Fixed Income Volatility Management
-
Fong, H. G., and O. A. Vasicek, 1991, "Fixed Income Volatility Management," Journal of Portfolio Optimization, Summer, 41-46.
-
(1991)
Journal of Portfolio Optimization
, vol.SUMMER
, pp. 41-46
-
-
Fong, H.G.1
Vasicek, O.A.2
-
28
-
-
0003580301
-
-
Cambridge University Press, Cambridge
-
Fouque, J.-P., G. Papanicolaou and K. R. Sircar, 2000, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge.
-
(2000)
Derivatives in Financial Markets with Stochastic Volatility
-
-
Fouque, J.-P.1
Papanicolaou, G.2
Sircar, K.R.3
-
30
-
-
0002674207
-
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
-
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.
-
(1992)
Econometrica
, vol.60
, pp. 77-105
-
-
Heath, D.1
Jarrow, R.2
Morton, A.3
-
32
-
-
0042375008
-
Call Options and the Risk of Underlying Securities
-
Jagannathan, R., 1984, "Call Options and the Risk of Underlying Securities," Journal of Financial Economics, 13, 425-434.
-
(1984)
Journal of Financial Economics
, vol.13
, pp. 425-434
-
-
Jagannathan, R.1
-
33
-
-
0032261308
-
Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Decurities
-
Jiang G. J., 1998, "Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Decurities," Journal of Financial and Quantitative Analysis, 33, 465-497.
-
(1998)
Journal of Financial and Quantitative Analysis
, vol.33
, pp. 465-497
-
-
Jiang, G.J.1
-
37
-
-
54649084049
-
On Cox Processes and Credit Risky Securities
-
Lando, D., 1998, "On Cox Processes and Credit Risky Securities," Review of Derivatives Research, 2, 99-120.
-
(1998)
Review of Derivatives Research
, vol.2
, pp. 99-120
-
-
Lando, D.1
-
39
-
-
0002531266
-
Common Factors Affecting Bond Returns
-
Litterman, R., and J. Scheinkman, 1991, "Common Factors Affecting Bond Returns," Journal of Fixed Income, 1, 54-61.
-
(1991)
Journal of Fixed Income
, vol.1
, pp. 54-61
-
-
Litterman, R.1
Scheinkman, J.2
-
40
-
-
0001924815
-
Volatility and the Yield Curve
-
Litterman, R., J. Scheinkman, and L. Weiss, 1991, "Volatility and the Yield Curve," Journal of Fixed Income, 1, 49-53.
-
(1991)
Journal of Fixed Income
, vol.1
, pp. 49-53
-
-
Litterman, R.1
Scheinkman, J.2
Weiss, L.3
-
41
-
-
0344971168
-
A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates
-
Longstaff, F. A., 1989, "A Nonlinear General Equilibrium Model of the Term Structure of Interest Rates," Journal of Financial Economics, 23, 195-224.
-
(1989)
Journal of Financial Economics
, vol.23
, pp. 195-224
-
-
Longstaff, F.A.1
-
42
-
-
84977723797
-
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
-
Longstaff, F. A., and E. S. Schwartz, 1992, "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model, " Journal of Finance, 47, 1259-1282.
-
(1992)
Journal of Finance
, vol.47
, pp. 1259-1282
-
-
Longstaff, F.A.1
Schwartz, E.S.2
-
43
-
-
0010866732
-
Implementation of the Longstaff-Schwartz Interest Rate Model
-
Longstaff, F. A., and E. S. Schwartz, 1993, "Implementation of the Longstaff-Schwartz Interest Rate Model," Journal of Fixed Income, September, 7-14.
-
(1993)
Journal of Fixed Income
, vol.SEPTEMBER
, pp. 7-14
-
-
Longstaff, F.A.1
Schwartz, E.S.2
-
46
-
-
0041830388
-
Recovering the Probability Density Function of Asset Prices Using ARCH Models as Diffusion Approximations
-
Mele, A., and F. Fornari, 2001, "Recovering the Probability Density Function of Asset Prices Using ARCH Models as Diffusion Approximations," Journal of Empirical Finance, 8, 83-110.
-
(2001)
Journal of Empirical Finance
, vol.8
, pp. 83-110
-
-
Mele, A.1
Fornari, F.2
-
48
-
-
0031475946
-
Contingent Claims and Market Completeness in a Stochastic Volatility Model
-
Romano, M., and N. Touzi, 1997, "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, 7, 399-412.
-
(1997)
Mathematical Finance
, vol.7
, pp. 399-412
-
-
Romano, M.1
Touzi, N.2
-
49
-
-
49849118671
-
Increasing Risk: I. A Definition
-
Rothschild, M., and J. E. Stiglitz, 1970, "Increasing Risk: I. A Definition," Journal of Economic Theory, 2, 225-243.
-
(1970)
Journal of Economic Theory
, vol.2
, pp. 225-243
-
-
Rothschild, M.1
Stiglitz, J.E.2
-
50
-
-
0011815682
-
A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk
-
Stanton, R., 1997, "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, 52, 1973-2002.
-
(1997)
Journal of Finance
, vol.52
, pp. 1973-2002
-
-
Stanton, R.1
-
51
-
-
0347078538
-
An Equilibrium Characterization of the Term Structure
-
Vasicek, O., 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics, 5, 177-188.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.1
|