Chapter 11 Intertemporal asset pricing theory

Handbook of the Economics of Finance

Volumn 1, Issue SUPPL. PART B, 2003, Pages 639-742

  Duffie, Darrell ^a  

^a STANFORD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 66049088653     PISSN: 15740102     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-0102(03)01020-3     Document Type: Review

References (444)

1. Adams K., and Van Deventer D. Fitting yield curves and forward rate curves with maximum smoothness. Journal of Fixed Income 4 (1994) 52-62 (June)
2. Ahn H., Dayal M., Grannan E., and Swindle G. Hedging with transaction costs. Annals of Applied Probability 8 (1995) 341-366
3. Andersen L., and Andreasen J. Volatility skews and extensions of the Libor Market Model. Applied Mathematical Finance 7 1 (2000) 1-32
4. Andersen L., and Andreasen J. Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing. Review of Derivatives Research 4 (2000) 231-262
5. Anderson R., and Sundaresan S. Design and valuation of debt contracts. Review of Financial Studies 9 (1996) 37-68
6. Anderson R., Pan Y., and Sundaresan S. Corporate bond yield spreads and the term structure. Finance 21 2 (2001) 14-37
7. Andreasen J., Jensen B., and Poulsen R. Eight valuation methods in financial mathematics: the Black-Scholes formula as an example. Mathematical Scientist 23 (1998) 18-40
8. Ansel J., and Stricker C. Quelques remarques sur un theoreme de Yan. Working Paper (1992), Université de Franche-Comté
9. Ansel J., and Stricker C. Lois de martingales, densités et décomposition de Föllmer-Schweizer. Annales de l'Institut Henri Poincaré Probabilités Statistiques 28 3 (1992) 375-392
10. Arrow K. An extension of the basic theorems of classical welfare economics. In: Neyman J. (Ed). Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability (1951), University of California Press, Berkeley, CA 507-532
11. Arrow K. Le rÔle des valeurs boursières pour la repartition la meilleure des risques. Econometrie. Colloq. Internat. Centre National de la Recherche Scientifique 40 (1953) 41-47 (Paris 1952)
12. Arrow K. Le rÔle des valeurs boursières pour la repartition la meilleure des risques. Econometrie. Colloq. Internat. Centre National de la Recherche Scientifique 40 (1953) 47-48
13. Arrow K. Le rÔle des valeurs boursières pour la repartition la meilleure des risques. Review of Economic Studies 31 (1964) 91-96 C.N.R.S. (Paris 1953). English Translation:
14. Artzner P. References for the numeraire portfolio. Working Paper (1995), Institut de Recherche Mathématique Avancée Université Louis Pasteur et CNRS, et Laboratoire de Recherche en Gestion
15. Artzner P., and Delbaen F. 'Finem lauda' or the risk of swaps. Insurance: Mathematics and Economics 9 (1990) 295-303
16. Artzner P., and Delbaen F. Credit risk and prepayment option. ASTIN Bulletin 22 (1992) 81-96
17. Artzner P., and Delbaen F. Default risk and incomplete insurance markets. Mathematical Finance 5 (1995) 187-195
18. Artzner P., and Roger P. Definition and valuation of optional coupon reinvestment bonds. Finance 14 (1993) 7-22
19. AÏt-Sahalia Y. Nonparametric pricing of interest rate derivative securities. Econometrica 64 (1996) 527-560
20. AÏt-Sahalia Y. Testing continuous-time models of the spot interest rate. Review of Financial Studies 9 (1996) 342-385
21. AÏt-Sahalia Y. Telling from discrete data whether the underlying continuous-time model is a diffusion. Journal of Finance 57 5 (2002) 2075-2113
22. AÏt-Sahalia Y., Wang Y., and Yared F. Do option markets correctly price the probabilities of movement of the underlying asset?. Journal of Econometrics 102 (2001) 67-110
23. Au K., and Thurston D. Markovian term structure movements. Working Paper (1993), School of Banking and Finance, University of New South Wales
24. Babbs S., and Selby M. Pricing by arbitrage in incomplete markets. Mathematical Finance 8 (1996) 163-168
25. Babbs S., and Webber N. A theory of the term structure with an official short rate (1994), Fiancial Options Research Center Warwick Business School
26. Bachelier L. Théorie de la speculation. Annales Scientifiques de L'école Normale Supérieure 17 (1900) 21-88 Translation
27. In: Cootner P. (Ed). The Random Character of Stock Market Prices (1964), MIT Press, Cambridge, MA 17-79
28. Back K. Securities market equilibrium without bankruptcy: contingent claim valuation and the martingale property. Working Paper (1986), Center for Mathematical Studies in Economics and Management Science, Northwestern University
29. Back K. Asset pricing for general processes. Journal of Mathematical Economics 20 (1991) 371-396
30. Back K., and Pliska S. The shadow price of information in continuous time decision problems. Stochastics 22 (1987) 151-186
31. Bajeux-Besnainou I., and Portait R. The numeraire portfolio: a new methodology for financial theory. The European Journal of Finance 3 (1997) 291-309
32. Bajeux-Besnainou I., and Portait R. Pricing derivative securities with a multi-factor gaussian model. Applied Mathematical Finance 5 (1998) 1-19
33. Bakshi G., and Madan D. Spanning and derivative security valuation. Journal of Financial Economics 55 (2000) 205-238
34. Bakshi G., Cao C., and Chen Z. Empirical performance of alternative option pricing models. Journal of Finance 52 (1997) 2003-2049
35. Balduzzi P., Das S., Foresi S., and Sundaram R. A simple approach to three factor affine term structure models. Journal of Fixed Income 6 (1996) 43-53 (December)
36. Balduzzi P., Bertola G., Foresi S., and Klapper L. Interest rate targeting and the dynamics of short-term interest rates. Journal of Money, Credit, and Banking 30 (1998) 26-50
37. Balduzzi P., Das S., and Foresi S. The central tendency: a second factor in bond yields. Review of Economics and Statistics 80 (1998) 62-72
38. Banz R., and Miller M. Prices for state-contingent claims: some evidence and applications. Journal of Business 51 (1978) 653-672
39. Bates D. Post-87' crash fears in S-and-P 500 futures options. Journal of Econometrics 94 (1997) 181-238
40. Baz J., and Das S. Analytical approximations of the term structure for jump-diffusion processes: a numerical analysis. Journal of Fixed Income 6 1 (1996) 78-86
41. Beaglehole D. Tax clientele and stochastic processes in the gilt market. Working Paper (1990), Graduate School of Business, University of Chicago
42. Beaglehole D., and Tenney M. General solutions of some interest rate contingent claim pricing equations. Journal of Fixed Income 1 (1991) 69-84
43. Bensoussan A. On the theory of option pricing. Acta Applicandae Mathematicae 2 (1984) 139-158
44. Benzoni L. Pricing options under stochastic volatility: an empirical investigation. Working Paper (2002), Carlson School of Management, University of Minnesota
45. Berardi A., and Esposito M. A base model for multifactor specifications of the term structure. Economic Notes 28 (1999) 145-170
46. Bergman Y. Option pricing with differential interest rates. The Review of Financial Studies 8 (1995) 475-500
47. Berndt A. Estimating the term structure of credit spreads: callable corporate debt. Working Paper (2002), Department of Statistics, Stanford University
48. Bhar R., and Chiarella C. Transformation of Heath-Jarrow-Morton models to Markovian systems. Working Paper (1995), School of Finance and Economics, University of Technology, Sydney
49. Bielecki T., and Rutkowski M. Credit risk modelling: a multiple ratings case. Working Paper (1999), Northeastern Illinois University and Technical University of Warsaw
50. Bielecki T., and Rutkowski M. Modelling of the defaultable term structure: conditionally Markov approach. Working Paper (1999), Northeastern Illinois University and Technical University of Warsaw
51. Bielecki T., and Rutkowski M. Credit risk modelling: intensity based approach. In: Jouini E., Cvitanic J., and Musiela M. (Eds). Option Pricing, Interest Rates and Risk Management (2001), Cambridge University Press 399-457
52. Björk T., and Christensen B. Interest rate dynamics and consistent forward rate curves. Mathematical Finance 22 (1999) 17-23
53. Björk T., and Gombani A. Minimal realizations of interest rate models. Finance and Stochastics 3 (1999) 413-432
54. Black F., and Cox J. Valuing corporate securities: liabilities: some effects of bond indenture provisions. Journal of Finance 31 (1976) 351-367
55. Black F., and Karasinski P. Bond and option pricing when short rates are lognormal. Financial Analysts Journal (1991) 52-59 (July-August)
56. Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-654
57. Black F., Derman E., and Toy W. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal (1990) 33-39 (January-February)
58. Bottazzi J.-M. Existence of equilibria with incomplete markets: the case of smooth returns. Journal of Mathematical Economics 24 (1995) 59-72
59. Bottazzi J.-M., and Hens T. Excess demand functions and incomplete markets. Journal of Economic Theory 68 (1996) 49-63
60. Boudoukh J., Richardson M., Stanton R., and Whitelaw R. Pricing mortgage-backed securities in a multifactor interest rate environment: a multivariate density estimation approach. Review of Financial Studies 10 (1997) 405-446
61. Boyarchenko S., and LevendorskiÏ S. Perpetual American options under Lévy processes. SIAM Journal on Control and Optimization 40 6 (2002) 1663-1696
62. Brace A., and Musiela M. Swap derivatives in a Gaussian HJM framework. Working Paper (1994), Treasury Group, Citibank, Sydney, Australia
63. Brace A., and Musiela M. The market model of interest rate dynamics. Mathematical Finance 7 (1995) 127-155
64. Breeden D. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics 7 (1979) 265-296
65. Breeden D., and Litzenberger R. Prices of state-contingent claims implicit in option prices. Journal of Business 51 (1978) 621-651
66. Brémaud P. Point Processes and Queues: Martingale Dynamics (1981), Springer, New York
67. Brennan M., and Schwartz E. Savings bonds, retractable bonds and callable bonds. Journal of Financial Economics 5 (1977) 67-88
68. Brennan M., and Schwartz E. Analyzing convertible bonds. Journal of Financial and Quantitative Analysis 10 (1980) 907-929
69. Brown D., DeMarzo P., and Eaves C. Computing equilibria when asset markets are incomplete. Econometrica 64 (1996) 1-27
70. Brown D., DeMarzo P., and Eaves C. Computing zeros of sections vector bundles using homotopies and relocalization. Mathematics of Operations Research 21 (1996) 26-43
71. Brown R., and Schaefer S. Interest rate volatility and the shape of the term structure. Philosophical Transactions of the Royal Society: Physical Sciences and Engineering 347 (1994) 449-598
72. Brown R., and Schaefer S. Ten years of the real term structure: 1984-1994. Journal of Fixed Income 6 (1996) 6-22 (March)
73. Bühlmann H., Delbaen F., Embrechts P., and Shiryaev A. On Esscher transforms in discrete finance models. ASTIN Bulletin 28 (1998) 171-186
74. Büttler H., and Waldvogel J. Pricing callable bonds by means of Green's function. Mathematical Finance 6 (1996) 53-88
75. Carr P., and Chen R. Valuing bond futures and the quality option. Working Paper (1996), Johnson Graduate School of Management, Cornell University
76. Carverhill A. The Ho and Lee term structure theory: a continuous time version. Working Paper (1988), Financial Options Research Centre, University of Warwick
77. Cass D. Competitive equilibria in incomplete financial markets. Working Paper (1984), Center for Analytic Research in Economics and the Social Sciences, University of Pennsylvania
78. Cass D. Sunspots and incomplete financial markets: the leading example. In: Feiwel G. (Ed). The Economics of Imperfect Competition and Employment: Joan Robinson and Beyond (1989), Macmillan, London 677-693
79. Cass D. Incomplete financial markets and indeterminacy of financial equilibrium. In: Laffont J.-J. (Ed). Advances in Economic Theory (1991), Cambridge University Press, Cambridge 263-288
80. Cassese G. An elementary remark on martingale equivalence and the fundamental theorem of asset pricing. Working Paper (1996), Istituto di Economia Politica, Università Commerciale "Luigi Bocconi≓, Milan
81. Chacko G., and Das S. Pricing interest rate derivatives: a general approach. Review of Financial Studies v15 1 (2002) 195-241
82. Chapman D. Habit formation, consumption, and state-prices. Econometrica 66 (1998) 1223-1230
83. Chen L. Stochastic Mean and Stochastic Volatility: A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives: Part I (1996), Blackwell Publishers, Oxford
84. Chen R.-R., and Scott L. Pricing interest rate options in a two-factor Cox-Ingersoll-Ross model of the term structure. Review of Financial Studies 5 (1992) 613-636
85. Chen R.-R., and Scott L. Pricing interest rate futures options with futures-style margining. Journal of Futures Markets 13 (1993) 15-22
86. Chen R.-R., and Scott L. Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure. Journal of Derivatives 3 (1995) 53-72
87. Cherif T., El Karoui N., Myneni R., and Viswanathan R. Arbitrage pricing and hedging of quanto options and interest rate claims with quadratic gaussian state variables. Working Paper (1995), Laboratoire de Probabilités, Université de Paris, VI
88. Chernov M., and Ghysels E. 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 (2000) 407-458
89. Cherubini U., and Esposito M. Options in and on interest rate futures contracts: results from martingale pricing theory. Applied Mathematical Finance 2 (1995) 1-15
90. Chesney M., Elliott R., and Gibson R. Analytical solution for the pricing of American bond and yield options. Mathematical Finance 3 (1993) 277-294
91. Chew S.-H. A generalization of the quasilinear mean with applications to the measurement of income inequality and decision theory resolving the Allais paradox. Econometrica 51 (1983) 1065-1092
92. Chew S.-H. Axiomatic utility theories with the betweenness property. Annals of Operations Research 19 (1989) 273-298
93. Chew S.-H., and Epstein L. Recursive utility under uncertainty. In: Khan A., and Yannelis N. (Eds). Equilibrium Theory with an Infinite Number of Commodities (1991), Springer, New York 353-369
94. Cheyette O. Markov representation of the Heath-Jarrow-Morton model. Working Paper (1995), BARRA Inc., Berkeley, California
95. Cheyette O. Implied prepayments. Working Paper (1996), BARRA Inc., Berkeley, California
96. Citanna A., and Villanacci A. On generic pareto improvement in competitive economies with incomplete asset structure. Working Paper (1993), Center for Analytic Research in Economics and the Social Sciences, University of Pennsylvania
97. Citanna A., Kajii A., and Villanacci A. Constrained suboptimality in incomplete markets: a general approach and two applications. Economic Theory 11 (1994) 495-521
98. Clewlow L., Pang K., and Strickland C. Efficient pricing of caps and swaptions in a multi-factor gaussian interest rate model. Working Paper (1997), University of Warwick
99. Cohen H. Isolating the wild card option. Mathematical Finance 2 (1995) 155-166
100. Coleman T., Fisher L., and Ibbotson R. Estimating the term structure of interest rates from data that include the prices of coupon bonds. Journal of Fixed Income 2 (1992) 85-116 (September)
101. Collin-Dufresne P., and Goldstein R. Do credit spreads reflect stationary leverage ratios?. Journal of Finance 56 5 (2001) 1929-1958
102. Collin-Dufresne P., and Goldstein R. Stochastic correlation and the relative pricing of caps and swaptions in a generalized-affine framework. Working Paper (2001), Carnegie Mellon University
103. Collin-Dufresne P., and Goldstein R. Pricing swaptions within the affine framework. Journal of Derivatives 10 1 (2002) 1-18
104. Collin-Dufresne P., and Solnik B. On the term structure of default premia in the swap and Libor markets. Journal of Finance 56 (2001) 1095-1116
105. Constantinides G. Intertemporal asset pricing with heterogeneous consumers and without demand aggregation. Journal of Business 55 (1982) 253-267
106. Constantinides G. Habit formation: a resolution of the equity premium puzzle. Journal of Political Economy 98 (1990) 519-543
107. Constantinides G. A theory of the nominal term structure of interest rates. Review of Financial Studies 5 (1992) 531-552
108. Constantinides G., and Ingersoll J. Optimal bond trading with personal taxes. Journal of Financial Economics 13 (1984) 299-335
109. Constantinides G., and Zariphopoulou T. Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences. Finance and Stochastics 3 (1999) 345-369
110. Constantinides G., and Zariphopoulou T. Bounds on option prices in an intertemporal setting with proportional transaction costs and multiple securities. Mathematical Finance 11 (2001) 331-346
111. Cont R. Modeling term structure dynamics: an infinite dimensional approach. Working Paper (1998), Centre de Mathématiques Appliquées, Ecole Polytechnique, Palaiseau, France
112. Cooper I., and Mello A. The default risk of swaps. Journal of Finance XLVI (1991) 597-620
113. Cooper I., and Mello A. Pricing and optimal use of forward contracts with default risk. Working Paper (1992), Department of Finance, London Business School, University of London
114. Corradi V. Degenerate continuous time limits of GARCH and GARCH-type processes. Journal of Econometrics 96 (2000) 145-153
115. Cox J. Optimal consumption and portfolio rules when assets follow a diffusion process. Working Paper (1983), Graduate School of Business, Stanford University
116. Cox J., and Huang C.-F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory 49 (1989) 33-83
117. Cox J., and Huang C.-F. A variational problem arising in financial economics with an application to a portfolio turnpike theorem. Journal of Mathematical Economics 20 (1991) 465-488
118. Cox J., and Ross S. The valuation of options for alternative stochastic processes. Journal of Financial Economics 3 (1976) 145-166
119. Cox J., and Rubinstein M. Options Markets (1985), Prentice-Hall, Englewood Cliffs, NJ
120. Cox J., Ross S., and Rubinstein M. Option pricing: a simplified approach. Journal of Financial Economics 7 (1979) 229-263
121. Cox J., Ingersoll J., and Ross S. The relation between forward prices and futures prices. Journal of Financial Economics 9 (1981) 321-346
122. Cox J., Ingersoll J., and Ross S. An intertemporal general equilibrium model of asset prices. Econometrica 53 (1985) 363-384
123. Cox J., Ingersoll J., and Ross S. A theory of the term structure of interest rates. Econometrica 53 (1985) 385-408
124. Cuoco D. Optimal consumption and equilibrium prices with portfolio constraints and stochastic income. Journal of Economic Theory 72 (1997) 33-73
125. Cuoco D., and He H. Dynamic equilibrium in finite-dimensional economies with incomplete financial markets. Working Paper (1994), Wharton School, University of Pennsylvania
126. Cvitanić J., and Karatzas I. Hedging contingent claims with constrained portfolios. Annals of Applied Probability 3 (1993) 652-681
127. Cvitanić J., and Karatzas I. Hedging and portfolio optimization under transaction costs: a martingale approach. Mathematical Finance 6 (1996) 133-165
128. Cvitanić J., Wang H., and Schachermayer W. Utility maximization in incomplete markets with random endowment. Finance and Stochastics 5 (2001) 259-272
129. Daher C., Romano M., and Zacklad G. Determination du prix de produits optionnels obligatoires à partir d'un modèle multi-facteurs de la courbe des taux. Working Paper (1992), Caisse Autonome de Refinancement, Paris
130. Dai Q. Implied Green's function in a no-arbitrage Markov model of the instantaneous short rate. Working Paper (1994), Graduate School of Business, Stanford University
131. Dai Q., and Singleton K. Specification analysis of affine term structure models. Journal of Finance 55 (2000) 1943-1978
132. Dai Q., and Singleton K. Term structure modelling in theory and reality. Review of Financial Studies (2003) forthcoming
133. Dalang R., Morton A., and Willinger W. Equivalent martingale measures and no-arbitrage in stochastic securities market models. Stochastics and Stochastic Reports 29 (1990) 185-201
134. Das S. Mean rate shifts and alternative models of the interest rate: theory and evidence. Working Paper (1993), Department of Finance, New York University
135. Das S. Pricing interest rate derivatives with arbitrary skewness and kurtosis: a simple approach to jump-diffusion bond option pricing. Working Paper (1995), Division of Research, Harvard Business School
136. Das S. Discrete-time bond and option pricing for jump-diffusion processes. Review of Derivatives Research 1 (1997) 211-243
137. Das S. The surprise element: interest rates as jump diffusions. NBER Working Paper 6631 (1998) Journal of Econometrics, under review
138. Das S., and Foresi S. Exact solutions for bond and option prices with systematic jump risk. Review of Derivatives Research 1 (1996) 7-24
139. Das S., and Sundaram R. A discrete-time approach to arbitrage-free pricing of credit derivatives. Management Science 46 (2000) 46-62
140. Das S., and Tufano P. Pricing credit-sensitive debt when interest rates, credit ratings and credit spreads are stochastic. Journal of Financial Engineering 5 2 (1995) 161-198
141. Dash J. Path integrals and options - I. Working Paper (1989), Financial Strategies Group, Merrill Lynch Capital Markets, New York
142. Davis M., and Clark M. Analysis of financial models including transactions costs. Working Paper (1993), Imperial College, University of London
143. Davydov D., Linetsky V., and Lotz C. The hazard-rate approach to pricing risky debt: two analytically tractable examples. Working Paper (1999), Department of Economics, University of Michigan
144. Debreu G. Une economie de l'incertain. Working Paper (1953), Electricité de France
145. Debreu G. Theory of Value, Cowles Foundation Monograph 17 (1959), Yale University Press, New Haven, CT
146. Décamps J.-P., and Faure-Grimaud A. Bankruptcy costs, ex post renegotiation and gambling for resurrection. Finance (2000) (December)
147. Décamps J.-P., and Faure-Grimaud A. Should I stay or should I go? Excessive continuation and dynamic agency costs of debt. European Economic Review 46 9 (2002) 1623-1644
148. Décamps J.-P., and Rochet J.-C. A variational approach for pricing options and corporate bonds. Economic Theory 9 (1997) 557-569
149. Dekel E. Asset demands without the independence axiom. Econometrica 57 (1989) 163-169
150. Delbaen F., and Schachermayer W. The fundamental theorem of asset pricing for unbounded stochastic processes. Mathematische Annalen 312 (1998) 215-250
151. DeMarzo P., and Eaves B. A homotopy, Grassmann manifold, and relocalization for computing equilibria of GEI. Journal of Mathematical Economics 26 (1996) 479-497
152. Diament P. Semi-empirical smooth fit to the treasury yield curve. Working Paper (1993), Graduate School of Business, Columbia University
153. Dijkstra T. On numeraires and growth-optimum portfolios. Working Paper (1996), Faculty of Economics, University of Groningen
154. Dothan M. On the term structure of interest rates. Journal of Financial Economics 7 (1978) 229-264
155. Dothan M. Prices in Financial Markets (1990), Oxford University Press, New York
156. Duffee G. Estimating the price of default risk. Review of Financial Studies 12 (1999) 197-226
157. Duffee G. Forecasting future interest rates: are affine models failures?. Working Paper (1999), Federal Reserve Board
158. Duffie D. Stochastic equilibria with incomplete financial markets. Journal of Economic Theory 41 (1987) 405-416
159. Duffie D. Stochastic equilibria with incomplete financial markets. Corrigendum: 1989 49 (1987) 384
160. Duffie D. An extension of the Black-Scholes model of security valuation. Journal of Economic Theory 46 (1988) 194-204
161. Duffie D. The Nature of Incomplete Markets (1992), Cambridge University Press, Cambridge 214-262
162. Duffie D. Defaultable term structures with fractional recovery of par. Working Paper (1998), Graduate School of Business, Stanford University, Stanford, CA
163. Duffie D. Dynamic Asset Pricing Theory. 3rd Edition (2001), Princeton University Press, Princeton, NJ
164. Duffie D. A short course on credit risk modeling with affine processes. Working Paper (2002), Graduate School of Business, Stanford University, Stanford, CA
165. Duffie D., and Gârleanu N. Risk and valuation of collateralized debt valuation. Financial Analysts Journal 57 (2001) 41-62 (1, January-February)
166. Duffie D., and Huang C.-F. Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities. Econometrica 53 (1985) 1337-1356
167. Duffie D., and Huang C.-F. Multiperiod security markets with differential information: martingales and resolution times. Journal of Mathematical Economics 15 (1986) 283-303
168. Duffie D., and Huang M. Swap rates and credit quality. Journal of Finance 51 (1996) 921-949
169. Duffie D., and Kan R. A yield-factor model of interest rates. Mathematical Finance 6 (1996) 379-406
170. Duffie D., and Lando D. Term structures of credit spreads with incomplete accounting information. Econometrica 69 (2001) 633-664
171. Duffie D., and Shafer W. Equilibrium in incomplete markets I: a basic model of generic existence. Journal of Mathematical Economics 14 (1985) 285-300
172. Duffie D., and Shafer W. Equilibrium in incomplete markets II: generic existence in stochastic economies. Journal of Mathematical Economics 15 (1986) 199-216
173. Duffie D., and Singleton K. An econometric model of the term structure of interest rate swap yields. Journal of Finance 52 (1997) 1287-1321
174. Duffie D., and Singleton K. Modeling term structures of defaultable bonds. Review of Financial Studies 12 (1999) 687-720
175. Duffie D., and Singleton K. Credit Risk: Pricing, Measurement, and Management (2003), Princeton University Press, Princeton, NJ
176. Duffie D., and Skiadas C. Continuous-time security pricing: a utility gradient approach. Journal of Mathematical Economics 23 (1994) 107-132
177. Duffie D., and Stanton R. Pricing continuously resettled contingent claims. Journal of Economic Dynamics and Control 16 (1988) 561-574
178. Duffie D., and Zame W. The consumption-based capital asset pricing model. Econometrica 57 (1989) 1279-1297
179. Duffie D., Schroder M., and Skiadas C. Recursive valuation of defaultable securities and the timing of the resolution of uncertainty. Annals of Applied Probability 6 (1996) 1075-1090
180. Duffie D., Schroder M., and Skiadas C. A term structure model with preferences for the timing of resolution of uncertainty. Economic Theory 9 (1997) 3-22
181. Duffie D., Pan J., and Singleton K. Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68 (2000) 1343-1376
182. Duffie D., Pedersen L., and Singleton K. Modeling sovereign yield spreads: a case study of Russian debt. The Journal of Finance 58 (2003) 119-160
183. Duffie D., Filipović D., and Schachermayer W. Affine processes and applications in finance. Annals of Applied Probability 13 (2003) forthcoming
184. Dumas B., and Maenhout P. A central planning approach to dynamic incomplete markets. Working Paper (2002), INSEAD, France
185. Dunn K., and Singleton K. Modeling the term structure of interest rates under nonseparable utility and durability of goods. Journal of Financial Economics 17 (1986) 27-55
186. Dupire B. Pricing with a smile. Risk (1994) 18-20 (January)
187. Dybvig P., and Huang C.-F. Nonnegative wealth, absence of arbitrage, and feasible consumption plans. Review of Financial Studies 1 (1988) 377-401
188. El Karoui N., and Geman H. A probabilistic approach to the valuation of general floating-rate notes with an application to interest rate swaps. Advances in Futures and Options Research 7 (1994) 47-63
189. El Karoui N., and Lacoste V. Multifactor models of the term structure of interest rates. Working Paper (1992), Laboratoire de Probabilités, Université de Paris VI
190. El Karoui N., and Quenez M. Dynamic programming and pricing of contingent claims in an incomplete market. SIAM Journal of Control and Optimization 33 (1995) 29-66
191. El Karoui N., and Rochet J.-C. A pricing formula for options on coupon bonds. Working Paper (1989), Laboratoire de Probabilités, Université de Paris VI October
192. El Karoui N., Lepage C., Myneni R., Roseau N., and Viswanathan R. The pricing and hedging of interest rate claims: applications. Working Paper (1991), Laboratoire de Probabilités, Université de Paris VI
193. El Karoui N., Lepage C., Myneni R., Roseau N., and Viswanathan R. The valuation and hedging of contingent claims with gaussian Markov interest rates. Working Paper (1991), Laboratoire de Probabilités, Université de Paris VI
194. El Karoui N., Myneni R., and Viswanathan R. Arbitrage pricing and hedging of interest rate claims with state variables I: theory. Working Paper (1992), Laboratoire de Probabilités, Université de Paris VI
195. Elliott R., Jeanblanc M., and Yor M. On models of default risk. Mathematical Finance 10 (2000) 77-106
196. Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of united kingdom inflation. Econometrica 50 (1982) 987-1008
197. Epstein L. Risk aversion and asset prices. Journal of Monetary Economics 22 (1988) 179-192
198. Epstein L. Behavior under risk: recent developments in theory and application. In: Laffont J.-J. (Ed). Advances in Economic Theory (1992), Cambridge University Press, Cambridge 1-63
199. Epstein L., and Zin S. Substitution, risk aversion and the temporal behavior of consumption and asset returns I: a theoretical framework. Econometrica 57 (1989) 937-969
200. Epstein L., and Zin S. Substitution, risk aversion and the temporal behavior of consumption and asset returns: an empirical analysis. Journal of Political Economy 99 (1999) 263-286
201. Fan H., and Sundaresan S. Debt valuation, renegotiations and optimal dividend policy. Review of Financial Studies 13 4 (2000) 1057-1099
202. Feller W. Two singular diffusion problems. Annals of Mathematics 54 (1951) 173-182
203. Filipović D. A note on the Nelson-Siegel family. Mathematical Finance 9 (1999) 349-359
204. Filipović D. A general characterization of one factor affine term structure models. Finance and Stochastics 5 (2001) 389-412
205. Filipović D. Time-inhomogeneous affine processes. Working Paper (2001), Department of Operations Research and Financial Engineering, Princeton University submitted
206. Fisher E., Heinkel R., and Zechner J. Dynamic capital structure choice: theory and tests. Journal of Finance 44 (1989) 19-40
207. Fisher M., Nychka D., and Zervos D. Fitting the term structure of interest rates with smoothing splines. Working Paper (1994), Board of Governors of the Federal Reserve Board, Washington, DC
208. Fleming J., and Whaley R. The value of wildcard options. Journal of Finance 1 (1994) 215-236
209. Fleming W., and Soner M. Controlled Markov Processes and Viscosity Solutions (1993), Springer, New York
210. Florenzano M., and Gourdel P. T-period economies with incomplete markets. Economics Letters 44 (1994) 91-97
211. Foldes L. Martingale conditions for optimal saving - discrete time. Journal of Mathematical Economics 5 (1978) 83-96
212. Foldes L. Optimal saving and risk in continuous time. Review of Economic Studies 45 (1978) 39-65
213. Foldes L. Conditions for optimally in the infinite-horizon portfolio-cum-saving problem with semimartingale investments. Stochastics and Stochastics Reports 29 (1990) 133-170
214. Foldes L. Certainty equivalence in the continuous-time portfolio-cum-saving model. In: Davis M.H.A., and Elliott R.J. (Eds). Applied Stochastic Analysis (1991), Gordon and Breach, London 343-387
215. Foldes L. Optimal sure portfolio plans. Mathematical Finance 1 (1991) 15-55
216. Foldes L. Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments. Stochastic and Stochastic Reports 41 (1992) 241-267
217. Foldes L. The optimal consumption function in a brownian model of accumulation, Part A: the consumption function as solution of a boundary value problem. Journal of Economic Dynamics and Control 25 (2001) 1951-1971
218. Föllmer H., and Schweizer M. Hedging of contingent claims under incomplete information. In: Davis M., and Elliott R. (Eds). Applied Stochastic Analysis (1990), Gordon and Breach, London 389-414
219. Frachot A. Factor models of domestic and foreign interest rates with stochastic volatilities. Mathematical Finance 5 (1995) 167-185
220. Frachot A., and Lesne J.-P. Econometrics of linear factor models of interest rates. Working Paper (1993), Banque de France, Paris
221. Frachot A., Janci D., and Lacoste V. Factor analysis of the term structure: a probabilistic approach. Working Paper (1993), Banque de France, Paris
222. Frittelli M., and Lakner P. Arbitrage and free lunch in a general financial market model; the fundamental theorem of asset pricing. Mathematical Finance 5 (1995) 237-261
223. Gabay D. Stochastic processes in models of financial markets. Proceedings of the IFIP Conference on Control of Distributed Systems. Working Paper (1982), Pergamon Press, Toulouse Toulouse
224. Geanakoplos J. An introduction to general equilibrium with incomplete asset markets. Journal of Mathematical Economics 19 (1990) 1-38
225. Geanakoplos J., and Mas-Colell A. Real indeterminacy with financial assets. Journal of Economic Theory 47 (1989) 22-38
226. Geanakoplos J., and Shafer W. Solving systems of simultaneous equations in economics. Journal of Mathematical Economics 19 (1990) 69-94
227. Geman H., El Karoui N., and Rochet J. Changes of numéraire, changes of probability measure and option pricing. Journal of Applied Probability 32 (1995) 443-458
228. Geske R. The valuation of corporate liabilities as compound options. Journal of Financial Economics 7 (1977) 63-81
229. Giovannini A., and Weil P. Risk aversion and intertemporal substitution in the capital asset pricing model. Working Paper w2824 (1989), National Bureau of Economic Research, Cambridge, MA
230. Girotto B., and Ortu F. Consumption and portfolio policies with incomplete markets and short-sale contraints in the finite-dimensional case: some remarks. Mathematical Finance 4 (1994) 69-73
231. Girotto B., and Ortu F. Existence of equivalent martingale measures in finite dimensional securities markets. Journal of Economic Theory 69 (1996) 262-277
232. Goldberg L. Volatility of the short rate in the rational lognormal model. Finance and Stochastics 2 (1998) 199-211
233. Goldstein R. Beyond HJM: fitting the current term structure while maintaining a Markovian system. Working Paper (1997), Fisher College of Business, The Ohio State University
234. Goldstein R. The term structure of interest rates as a random field. Review of Financial Studies 13 (2000) 365-384
235. Goldys B., and Musiela M. On partial differential equations related to term structure models. Working Paper (1996), School of Mathematics, The University of New South Wales, Sydney, Australia
236. Goldys B., Musiela M., and Sondermann D. Lognormality of rates and term structure models. Working Paper (1994), School of Mathematics, University of New South Wales
237. Gorman W. Community preference fields. Econometrica 21 (1953) 63-80
238. Gottardi P., and Hens T. The survival assumption and existence of competitive equilibria when asset markets are incomplete. Journal of Economic Theory 71 (1996) 313-323
239. Grannan E., and Swindle G. Minimizing transaction costs of option hedging strategies. Mathematical Finance 6 (1996) 341-364
240. Grant S., Kajii A., and Polak B. Temporal resolution of uncertainty and recursive non-expected utility models. Econometrica 68 (2000) 425-434
241. Grinblatt M., and Jegadeesh N. The relative pricing of eurodollar futures and forward contracts. Journal of Finance 51 (1996) 1499-1522
242. Gul F., and Lantto O. Betweenness satisfying preferences and dynamic choice. Journal of Economic Theory 52 (1990) 162-177
243. Guo D. The risk premium of volatility implicit in currency options. Journal of Business and Economics Statistics 16 (1998) 498-507
244. Hahn F. On economies with Arrow securities. Working Paper (1994), Department of Economics, Cambridge University
245. Hamza K., and Klebaner F. A stochastic partial differential equation for term structure of interest rates. Working Paper (1995), Department of Statistics, The University of Melbourne
246. Hansen A., and Jorgensen P. Fast and accurate approximation of bond prices when short interest rates are log-normal. Journal of Computational Finance 3 3 (2000) 27-45
247. Hansen L., and Jaganathan R. Implications of security market data for models of dynamic economies. Journal of Political Economy 99 (1990) 225-262
248. Harrison M., and Kreps D. Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory 20 (1979) 381-408
249. Harrison M., and Pliska S. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications 11 (1981) 215-260
250. Hart O. On the optimality of equilibrium when the market structure is incomplete. Journal of Economic Theory 11 (1975) 418-430
251. He H., and Pagès H. Labor income, borrowing constraints, and equilibrium asset prices. Economic Theory 3 (1993) 663-696
252. Heath D. Some new term structure models. Working Paper (1998), Department of Mathematical Sciences, Carnegie Mellon University
253. Heath D., Jarrow R., and Morton A. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica 60 (1992) 77-106
254. Henrotte P. Transactions costs and duplication strategies. Working Paper (1991), Graduate School of Business, Stanford University
255. Hens T. Structure of general equilibrium models with incomplete markets. Working Paper (1991), Department of Economics, University of Bonn
256. Heston S. Testing continuous time models of the term structure of interest rates. Working Paper (1988), Graduate School of Industrial Administration, Carnegie-Mellon University
257. Heston S. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6 (1993) 327-344
258. Hilberink B., and Rogers L.C.G. Optimal capital structure and endogenous default. Finance and Stochastic 6 2 (2002) 237-263
259. Hindy A., and Huang M. Asset pricing with linear collateral constraints. Working Paper (1993), Graduate School of Business, Stanford University
260. Hirsch M., Magill M., and Mas-Colell A. A geometric approach to a class of equilibrium existence theorems. Journal of Mathematical Economics 19 (1990) 95-106
261. Ho T., and Lee S. Term structure movements and pricing interest rate contingent claims. Journal of Finance 41 (1986) 1011-1029
262. Hogan M., and Weintraub K. The lognormal interest rate model and eurodollar futures. Working Paper (1993), Citybank, New York
263. Huang C.-F. Information structures and equilibrium asset prices. Journal of Economic Theory 31 (1985) 33-71
264. Huang C.-F. Information structures and viable price systems. Journal of Mathematical Economics 14 (1985) 215-240
265. Huang C.-F., and Pagès H. Optimal consumption and portfolio policies with an infinite horizon: existence and convergence. Annals of Applied Probability 2 (1992) 36-64
266. Hull J. Options, Futures, and Other Derivative Securities. 4th Edition (2000), Prentice-Hall, Englewood Cliffs, NJ
267. Hull J., and White A. Pricing interest rate derivative securities. Review of Financial Studies 3 (1990) 573-592
268. Hull J., and White A. The price of default. Risk 5 (1992) 101-103
269. Hull J., and White A. One-factor interest-rate models and the valuation of interest-rate derivative securities. Journal of Financial and Quantitative Analysis 28 (1993) 235-254
270. Hull J., and White A. The impact of default risk on the prices of options and other derivative securities. Journal of Banking and Finance 19 (1995) 299-322
271. Husseini S., Lasry J.-M., and Magill M. Existence of equilibrium with incomplete markets. Journal of Mathematical Economics 19 (1990) 39-68
272. Ingersoll J. An examination of corporate call policies on convertible securities. Journal of Finance 32 (1977) 463-478
273. Jackwerth J., and Rubinstein M. Recovering probability distributions from options prices. Journal of Finance 51 (1996) 1611-1631
274. Jacod J., and Protter P. Probability Essentials (2000), Springer, New York
275. Jacod J., and Shiryaev A. Local martingales and the fundamental asset pricing theorems in the discrete-time case. Finance and Stochastics 2 (1998) 259-274
276. Jakobsen S. Prepayment and the valuation of Danish mortgage-backed bonds. Ph.D. Dissertation (1992), The Aarhus School of Business, Denmark
277. Jamshidian F. Closed-form solution for American options on coupon bonds in the general gaussian interest rate model. Working Paper (1989), Financial Strategies Group, Merrill Lynch Capital Markets, New York
278. Jamshidian F. An exact bond option formula. Journal of Finance 44 (1989) 205-209
279. Jamshidian F. The multifactor gaussian interest rate model and implementation. Working Paper (1989), Financial Strategies Group, Merrill Lynch Capital Markets, New York
280. Jamshidian F. Bond and option evaluation in the gaussian interest rate model. Research in Finance 9 (1991) 131-170
281. Jamshidian F. Forward induction and construction of yield curve diffusion models. Journal of Fixed Income (1991) 62-74 (June)
282. Jamshidian F. Hedging and evaluating diff swaps. Working Paper (1993), Fuji International Finance PLC, London
283. Jamshidian F. Options and futures evaluation with deterministic volatilities. Mathematical Finance 3 (1993) 149-159
284. Jamshidian F. Hedging quantos, differential swaps and ratios. Applied Mathematical Finance 1 (1994) 1-20
285. Jamshidian F. Bond, futures and option evaluation in the quadratic interest rate model. Applied Mathematical Finance 3 (1996) 93-115
286. Jamshidian F. Libor and swap market models and measures. Finance and Stochastics 1 (1997) 293-330
287. Jamshidian F. Pricing and hedging European swaptions with deterministic (lognormal) forward swap volatility. Finance and Stochastics 1 (1997) 293-330
288. Jamshidian F. Libor market model with semimartingales. In: Jouini E., Cvitanic J., and Musiela M. (Eds). Option Pricing, Interest Rates and Risk Management. Handbooks in Mathematical Finance (2001), Cambridge University Press Part II, Ch. 10
289. Jarrow R., and Turnbull S. Delta, gamma and bucket hedging of interest rate derivatives. Applied Mathematical Finance 1 (1994) 21-48
290. Jarrow R., and Turnbull S. Pricing derivatives on financial securities subject to credit risk. Journal of Finance 50 (1995) 53-85
291. Jarrow R., and Yu F. Counterparty risk and the pricing of defaultable securities. Journal of Finance 56 5 (2001) 1765-1799
292. Jarrow R., Lando D., and Yu F. Default risk and diversification: theory and application. Working Paper (2003), Cornell University
293. Jaschke S. Arbitrage bounds for the term structure of interest rates. Finance and Stochastics 2 (1996) 29-40
294. Jeanblanc M., and Rutkowski M. Modelling of default risk: an overview. Modern Mathematical Finance: Theory and Practice (2000), Higher Education Press, Beijing 171-269
295. Jeffrey A. Single factor Heath-Jarrow-Morton term structure models based on Markov spot interest rate. Journal of Financial and Quantitative Analysis 30 (1995) 619-643
296. Johnson B. Dynamic asset pricing theory: the search for implementable results. Working Paper (1994), Engineering-Economic Systems Department, Stanford University
297. Jong F.D., and Santa-Clara P. The dynamics of the forward interest rate curve: a formulation with state variables. Journal of Financial and Quantitative Analysis 34 (1999) 131-157
298. Jouini E., and Kallal H. Efficient trading strategies in the presence of market frictions. Working Paper (1993), CREST-ENSAE, Paris
299. Kabanov Y. On the FTAP of Kreps-Delbaen-Schachermayer. Statistics and Control of Stochastic Processes (1997), World Scientific, River Edge, NJ 191-203 Moscow 1995/1996
300. Kabanov Y., and Kramkov D. Large financial markets: asymptotic arbitrage and contiguity. Theory of Probability and its Applications 39 (1995) 182-187
301. Kabanov Y., and Stricker C. The Harrison-Pliska arbitrage pricing theorem under transactions costs. Journal of Mathematical Economics 35 (2001) 185-196
302. Kan R. Gradient of the representative agent utility when agents have stochastic recursive preferences. Working Paper (1993), Graduate School of Business, Stanford University
303. Kan R. Structure of pareto optima when agents have stochastic recursive preferences. Journal of Economic Theory 66 (1995) 626-631
304. Karatzas I. On the pricing of American options. Applied Mathematics and Optimization 17 (1988) 37-60
305. Karatzas I. IMA tutorial lectures 1-3: Minneapolis. Working Paper (1993), Department of Statistics, Columbia University
306. Karatzas I., and Kou S.-G. Hedging American contingent claims with constrained portfolios. Finance and Stochastics 2 (1998) 215-258
307. Karatzas I., and Shreve S. Brownian Motion and Stochastic Calculus (1988), Springer, New York
308. Karatzas I., and Shreve S. Methods of Mathematical Finance (1998), Springer, New York
309. Karatzas I., Lehoczky J., and Shreve S. Optimal portfolio and consumption decisions for a 'small investor' on a finite horizon. SIAM Journal of Control and Optimization 25 (1987) 1157-1186
310. Kawazu K., and Watanabe S. Branching processes with immigration and related limit theorems. Theory of Probability and its Applications 16 (1971) 36-54
311. Kennedy D. The term structure of interest rates as a gaussian random field. Mathematical Finance 4 (1994) 247-258
312. Konno H., and Takase T. A constrained least square approach to the estimation of the term structure of interest rates. Financial Engineering and the Japanese Markets 2 (1995) 169-179
313. Konno H., and Takase T. On the de-facto convex structure of a least square problem for estimating the term structure of interest rates. Financial Engineering and the Japanese Market 3 (1996) 77-85
314. Koopmans T. Stationary utility and impatience. Econometrica 28 (1960) 287-309
315. Kramkov D., and Schachermayer W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Annals of Applied Probability 9 3 (1999) 904-950
316. Kraus A., and Litzenberger R. Market equilibrium in a multiperiod state preference model with logarithmic utility. Journal of Finance 30 (1975) 1213-1227
317. Kreps D. Three essays on capital markets. Working Paper (1979), Institute for Mathematical Studies in the Social Sciences, Stanford University
318. Kreps D. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8 (1981) 15-35
319. Kreps D., and Porteus E. Temporal resolution of uncertainty and dynamic choice. Econometrica 46 (1978) 185-200
320. Kusuoka S. Consistent price system when transaction costs exist. Working Paper (1992), Research Institute for Mathematical Sciences, Kyoto University
321. Kusuoka S. A remark on arbitrage and martingale measure. Publ. RIMS, Kyoto University 29 (1993) 833-840
322. Kusuoka S. Limit theorem on option replication cost with transaction costs. Annals of Applied Probability 11 (1995) 1283-1301
323. Kusuoka S. A remark on default risk models. Advances in Mathematical Economics 1 (1999) 69-82
324. Kusuoka S. Term structure and SPDE. Advances in Mathematical Economics 2 (2000) 67-85
325. Kydland F., and Prescott E. Indeterminacy in incomplete market economies. Economic Theory 1 (1991) 45-62
326. Lakner P. Equivalent local martingale measures and free lunch in a stochastic model of finance with continuous trading. Working Paper (1993), Statistics and Operation Research Department, New York University
327. Lakner P., and Slud E. Optimal consumption by a bond investor: the case of random interest rate adapted to a point process. SIAM Journal of Control and Optimization 29 (1991) 638-655
328. Lando D. Three essays on contingent claims pricing. Working Paper (1994), Ph.D. Dissertation, Statistics Center, Cornell University
329. Lando D. On Cox processes and credit risky securities. Review of Derivatives Research 2 (1998) 99-120
330. Lang L., Litzenberger R., and Liu A. Determinants of interest rate swap spreads. Journal of Banking and Finance 22 (1998) 1507-1532
331. Langetieg T. A multivariate model of the term structure. Journal of Finance 35 (1980) 71-97
332. Leland H. Option pricing and replication with transactions costs. Journal of Finance 40 (1985) 1283-1301
333. Leland H. Corporate debt value, bond covenants, and optimal capital structure. Journal of Finance 49 (1994) 1213-1252
334. Leland H. Agency costs, risk management, and capital structure. Journal of Finance 53 (1998) 1213-1242
335. Leland H., and Toft K. Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads. Journal of Finance 51 (1996) 987-1019
336. LeRoy S. Risk aversion and the martingale property of asset prices. International Economic Review 14 (1973) 436-446
337. Levental S., and Skorohod A. A necessary and sufficient condition for absence of arbitrage with tame portfolios. Annals of Applied Probability 5 (1995) 906-925
338. Litzenberger R. Swaps: plain and fanciful. Journal of Finance 47 (1992) 831-850
339. Liu J., Pan J., and Pedersen L. Density-based inference in affine jump-diffusions. Working Paper (1999), Graduate School of Business, Stanford University
340. Long J. The numeraire portfolio. Journal of Financial Economics 26 (1990) 29-69
341. Longstaff F. The valuation of options on yields. Journal of Financial Economics 26 (1990) 97-121
342. Longstaff F., and Schwartz E. Interest rate volatility and the term structure: a two-factor general equilibrium model. Journal of Finance 47 (1992) 1259-1282
343. Longstaff F., and Schwartz E.S. Implementing of the Longstaff-Schwartz interest rate model. Journal of Fixed Income 3 (1993) 7-14
344. Longstaff F., and Schwartz E.S. A simple approach to valuing risky fixed and floating rate debt. Journal of Finance 50 (1995) 789-819
345. Longstaff F., and Schwartz E.S. Valuing American options by simulation: a simple least-squares approach. Review of Financial Studies 14 1 (2001) 113-147
346. Lucas R. Asset prices in an exchange economy. Econometrica 46 (1978) 1429-1445
347. Machina M. 'Expected utility' analysis without the independence axiom. Econometrica 50 (1982) 277-323
348. Madan D., and Unal H. Pricing the risks of default. Review of Derivatives Research 2 (1998) 121-160
349. Magill M., and Quinzii M. Theory of Incomplete Markets (1996), MIT Press, Cambridge, MA
350. Magill M., and Shafer W. Characterization of generically complete real asset structures. Journal of Mathematical Economics 19 (1990) 167-194
351. Magill M., and Shafer W. Incomplete markets. In: Hildenbrand W., and Sonnenschein H. (Eds). Handbook of Mathematical Economics Vol. 4 (1991), Elsevier, Amsterdam 1523-1614
352. Mas-Colell A. Indeterminacy in incomplete market economies. Economic Theory 1 (1991) 45-62
353. Mella-Barral P. Dynamics of default and debt reorganization. Review of Financial Studies 12 (1999) 535-578
354. Mella-Barral P., and Perraudin W. Strategic debt service. Journal of Finance 52 (1997) 531-556
355. Merton R. Optimum consumption and portfolio rules in a continuous time model. Journal of Economic Theory 3 (1971) 373-413
356. Erratum 6 (1973) 213-214
357. Merton R. The theory of rational option pricing. Bell Journal of Economics and Management Science 4 (1973) 141-183
358. Merton R. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29 (1974) 449-470
359. Merton R. On the pricing of contingent claims and the Modigliani-Miller theorem. Journal of Financial Economics 5 (1977) 241-250
360. Miltersen K. An arbitrage theory of the term structure of interest rates. Annals of Applied Probability 4 (1994) 953-967
361. Miltersen K., Sandmann K., and Sondermann D. Closed form solutions for term structure derivatives with log-normal interest rates. Journal of Finance 52 (1997) 409-430
362. Modigliani F., and Miller M. The cost of capital, corporation finance, and the theory of investment. American Economic Review 48 (1958) 261-297
363. Musiela M. Nominal annual rates and lognormal volatility structure. Working Paper (1994), Department of Mathematics, University of New South Wales, Sydney
364. Musiela M. Stochastic PDEs and term structure models. Working Paper (1994), Department of Mathematics, University of New South Wales, Sydney
365. Musiela M., and Sondermann D. Different dynamical specifications of the term structure of interest rates and their implications. Working Paper (1994), Department of Mathematics, University of New South Wales, Sydney
366. Nelson D. ARCH models as diffusion approximations. Journal of Econometrics 45 (1990) 7-38
367. Nielsen S., and Ronn E. The valuation of default risk in corporate bonds and interest rate swaps. Working Paper (1995), Department of Management Science and Information Systems, University of Texas, Austin
368. Nunes J., Clewlow L., and Hodges S. Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach. Review of Derivatives Research 3 (1999) 5-66
369. Nyborg K. The use and pricing of convertible bonds. Applied Mathematical Finance 3 (1996) 167-190
370. Pagès H. Optimal consumption and portfolio policies when markets are incomplete. Working Paper (1987), Department of Economics, Massachusetts Institute of Technology
371. Pagès H. Estimating brazilian sovereign risk from brady bond prices. Working Paper (2000), Bank of France
372. Pan J. The jump-risk premia implicit in options: evidence from an integrated time-series study. Journal of Financial Economics 63 (2002) 3-50
373. Pan W.-H. Constrained efficient allocations in incomplete markets: characterization and implementation. Working Paper (1993), Department of Economics, University of Rochester
374. Pan W.-H. A second welfare theorem for constrained efficient allocations in incomplete markets. Journal of Mathematical Economics 24 (1995) 577-599
375. Pang K. Multi-factor gaussian HJM approximation to Kennedy and calibration to caps and swaptions prices. Working Paper (1996), Financial Options Research Center, Warwick Business School, University of Warwick
376. Pang K., and Hodges S. Non-negative affine yield models of the term structure. Working Paper (1995), Financial Options Research Center, Warwick Business School, University of Warwick
377. Pearson N., and Sun T.-S. An empirical examination of the Cox, Ingersoll, and Ross model of the term structure of interest rates using the method of maximum likelihood. Journal of Finance 54 (1994) 929-959
378. Pennacchi G. Identifying the dynamics of real interest rates and inflation: evidence using survey data. Review of Financial Studies 4 (1991) 53-86
379. Piazzesi M. An affine model of the term structure of interest rates with macroeconomic factors. Working Paper (1997), Stanford University
380. Piazzesi M. A linear-quadratic jump-diffusion model with scheduled and unscheduled announcements. Working Paper (1999), Stanford University
381. Piazzesi M. Affine term structure models. In: AÏt-Sahalia Y., and Hansen L.P. (Eds). Handbook of Financial Economics (2002), Elsevier, Amsterdam forthcoming
382. Pliska S. A stochastic calculus model of continuous trading: optimal portfolios. Mathematics of Operations Research 11 (1986) 371-382
383. Plott C. Rational choice in experimental markets. Journal of Business 59 (1986) S301-S327
384. Poteshman A. Estimating a general stochastic variance model from options prices. Working Paper (1998), Graduate School of Business, University of Chicago, Chicago, IL
385. Prisman E. Valuation of risky assets in arbitrage free economies with frictions. Working Paper (1985), Department of Finance, University of Arizona, Tucson, AZ
386. Protter P. Stochastic Integration and Differential Equations (1990), Springer, New York
387. Protter P. A partial introduction to financial asset pricing theory. Stochastic Processes and their Applications 91 2 (2001) 169-203
388. Pye G. Gauging the default premium. Financial Analysts Journal (1974) 49-52 (January-February)
389. Radner R. Equilibre des marchés a terme et au comptant en cas d'incertitude. Cahiers d'Econométrie 4 (1967) 35-52
390. Radner R. Existence of equilibrium of plans, prices, and price expectations in a sequence of markets. Econometrica 40 (1972) 289-303
391. Renault E., and Touzi N. Stochastic volatility models: statistical inference from implied volatilities. Working Paper (1992), GREMAQ IDEI, Toulouse and CREST, Paris, France
392. Ritchken P., and Sankarasubramaniam L. Valuing claims when interest rates have stochastic volatility. Working Paper (1992), Department of Finance, University of Southern California
393. Ritchken P., and Trevor R. On finite state Markovian representations of the term structure. Working Paper (1993), Department of Finance, University of Southern California
394. Rogers C. Equivalent martingale measures and no-arbitrage. Stochastics and Stochastic Reports 51 (1994) 1-9
395. Rogers C. Which model for term-structure of interest rates should one use?. Mathematical Finance, IMA, v65 (1995), Springer, New York 93-116
396. Ross S. Arbitrage and martingales with taxation. Journal of Political Economy 95 (1987) 371-393
397. Ross S. Information and volatility: the non-arbitrage martingale approach to timing and resolution irrelevancy. Journal of Finance 64 (1989) 1-17
398. Rubinstein M. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics 7 (1976) 407-425
399. Rubinstein M. As simple as one, two, three. Risk 8 (1995) 44-47 (January)
400. Rutkowski M. Valuation and hedging of contingent claims in the HJM model with deterministic volatilities. Applied Mathematical Finance 3 (1996) 237-267
401. Rutkowski M. Dynamics of spot, forward, and futures libor rates. International Journal of Theoretical and Applied Finance 1 (1998) 425-445
402. Ryder H., and Heal G. Optimal growth with intertemporally dependent preferences. Review of Economic Studies 40 (1973) 1-31
403. Sandmann K., and Sondermann D. On the stability of lognormal interest rate models. Mathematical Finance 7 (1997) 119-125
404. Santa-Clara P., and Sornette D. The dynamics of the forward interest rate curve with stochastic string shocks. Review of Financial Studies 14 (2001) 149-185
405. Sato K. Lévy Processes and Infinitely Divisible Distributions (1999), Cambridge University Press, Cambridge Translated from the 1990 Japanese original, revised by the author
406. Scaillet O. Compound and exchange options in the affine term structure model. Applied Mathematical Finance 3 (1996) 75-92
407. Schachermayer W. A Hilbert-space proof of the fundamental theorem of asset pricing. Insurance Mathematics and Economics 11 (1992) 249-257
408. Schachermayer W. Martingale measures for discrete-time processes with infinite horizon. Mathematical Finance 4 (1994) 25-56
409. Schachermayer W. The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Working Paper (2001), Institut für Statistik der UniversitÄt Wien
410. Schachermayer W. No arbitrage: on the work of David Kreps. Positivity 6 (2002) 359-368
411. Schönbucher P. Term structure modelling of defaultable bonds. Review of Derivatives Research 2 (1998) 161-192
412. Schroder M., and Skiadas C. Optimal consumption and portfolio selection with stochastic differential utility. Journal of Economic Theory 89 (1999) 68-126
413. Schroder M., and Skiadas C. An isomorphism between asset pricing models with and without linear habit formation. Review of Financial Studies 15 (2002) 1189-1221
414. Schweizer M. Martingale densities for general asset prices. Journal of Mathematical Economics 21 (1992) 363-378
415. Scott L. The valuation of interest rate derivatives in a multi-factor Cox-Ingersoll-Ross model that matches the initial term structure. Working Paper (1997), Morgan Stanley, New York
416. Selby M., and Strickland C. Computing the Fong and Vasicek pure discount bond price formula. Working Paper (1993), FORC Preprint 93/42, October 1993, University of Warwick FORC Preprint 93/42, October 1993
417. Selden L. A new representation of preference over 'certain x uncertain' consumption pairs: the 'ordinal certainty equivalent' hypothesis. Econometrica 46 (1978) 1045-1060
418. Sharpe W. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19 (1964) 425-442
419. Singleton K. Estimation of affine asset pricing models using the empirical characteristic function. Journal of Econometrics 102 (2001) 111-141
420. Singleton K., and Umantsev L. Pricing coupon-bond and swaptions in affine term structure models. Mathematical Finance (2003) forthcoming
421. Skiadas C. Conditioning and aggregation of preferences. Econometrica 65 (1997) 347-367
422. Skiadas C. Recursive utility and preferences for information. Economic Theory 12 (1998) 293-312
423. Soner M., Shreve S., and Cvitanić J. There is no nontrivial hedging portfolio for option pricing with transaction costs. Annals of Applied Probability 5 (1994) 327-355
424. Sornette D. String formulation of the dynamics of the forward interest rate curve. European Physical Journal B 3 (1998) 125-137
425. Stanton R. Rational prepayment and the valuation of mortgage-backed securities. Review of Financial Studies 8 (1995) 677-708
426. Stanton R., and Wallace N. Arm wrestling: valuing adjustable rate mortgages indexed to the eleventh district cost of funds. Real Estate Economics 23 (1995) 311-345
427. Stanton R., and Wallace N. Mortgage choice: what's the point?. Real Estate Economics 26 (1995) 173-205
428. Stapleton R., and Subrahmanyam M. A multiperiod equilibrium asset pricing model. Econometrica 46 (1978) 1077-1093
429. Stein E., and Stein J. Stock price distributions with stochastic volatility: an analytic approach. Review of Financial Studies 4 (1991) 725-752
430. Stricker C. Arbitrage et lois de martingale. Annales de l'Institut Henri Poincaré 26 (1990) 451-460
431. Sundaresan S. Intertemporally dependent preferences in the theories of consumption, portfolio choice and equilibrium asset pricing. Review of Financial Studies 2 (1989) 73-89
432. Sundaresan S. Fixed Income Markets and Their Derivatives (1997), South-Western, Cincinnati, OH
433. Svensson L., and Dahlquist M. Estimating the term structure of interest rates for monetary policy analysis. Scandinavian Journal of Economics 98 (1996) 163-183
434. Turnbull S.M. Pricing and hedging diff swaps. Journal of Financial Engineering (1993) 297-334 (December)
435. Turnbull S.M. Interest rate digital options and range notes. Journal of Derivatives 3 (1995) 92-101
436. Uhrig-Homburg M. Endogenous bankruptcy when issuance is costly. Working Paper 98-13 (1998), Lehrstuhl für Finanzierung, University of Mannheim
437. Van Steenkiste R., and Foresi S. Arrow-Debreu prices for affine models. Working Paper (1999), Salomon Smith Barney, Inc., Goldman Sachs Asset Management
438. Vargiolu T. Invariant measures for the Musiela equation with deterministic diffusion term. Finance and Stochastics 3 (1999) 483-492
439. Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics 5 (1977) 177-188
440. Werner J. Equilibrium in economies with incomplete financial markets. Journal of Economic Theory 36 (1985) 110-119
441. Whalley A., and Wilmott P. An asymptotic analysis of an optimal hedging model for options with transaction costs. Mathematical Finance 7 (1997) 307-324
442. Xu G.-L., and Shreve S. A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients. Annals of Applied Probability 2 (1992) 87-112
443. Zhou C.-S. A jump-diffusion approach to modeling credit risk and valuing defaultable securities. Working Paper (2000), Federal Reserve Board, Washington, DC
444. Zhou Y.-Q. The global structure of equilibrium manifold in incomplete markets. Journal of Mathematical Economics 27 (1997) 91-111