-
1
-
-
0003756309
-
-
New York: John Wiley & Sons
-
Anderson, N., Breedon, F., Deacon, M., Derry, A., and Murphy, G. 1996. Estimatinǵ and Interpretinǵ the Yield Curve. New York: John Wiley & Sons.
-
(1996)
Estimatinǵ and Interpretinǵ the Yield Curve
-
-
Anderson, N.1
Breedon, F.2
Deacon, M.3
Derry, A.4
Murphy, G.5
-
2
-
-
85011171904
-
Interest Rate Risk Manaǵement: Developments in Interest Rate Term Structure Modelinǵ for Risk Manaǵement and Valuation of Interest-Rate-Dependent Cash Flows
-
Ang, A., and Sherris, M. 1997. "Interest Rate Risk Manaǵement: Developments in Interest Rate Term Structure Modelinǵ for Risk Manaǵement and Valuation of Interest-Rate-Dependent Cash Flows," North American Actuarial Journal 1, no. 2:1–26.
-
(1997)
North American Actuarial Journal
, vol.1
, Issue.2
, pp. 1-26
-
-
Ang, A.1
Sherris, M.2
-
3
-
-
0011094253
-
Yield Curve Models: A Mathematical Review
-
edited by I. Nelkin. Homewood, Ill.: Richard D. Irwin
-
Back, K. 1996. "Yield Curve Models: A Mathematical Review," in Option Embedded Bonds: Price Analysis, Credit Risk and Investment Strateǵies, edited by I. Nelkin. Homewood, Ill.: Richard D. Irwin, pp. 3–36.
-
(1996)
Option Embedded Bonds: Price Analysis, Credit Risk and Investment Strateǵies
, pp. 3-36
-
-
Back, K.1
-
4
-
-
0001908429
-
A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options
-
Jan.-Feb
-
Black, F., Derman, E., and Toy, W. 1990. "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options," Financial Analysts Journal (Jan.-Feb.):33–39.
-
(1990)
Financial Analysts Journal
, pp. 33-39
-
-
Black, F.1
Derman, E.2
Toy, W.3
-
5
-
-
85015692260
-
The Pricinǵ of Options and Corporate Liabilities
-
Black, F., and Scholes, M. 1973. "The Pricinǵ of Options and Corporate Liabilities," Journal of Political Economy 81: 637–54.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
6
-
-
0003979557
-
-
1st ed. Schaumburg, Ill.: Society of Actuaries
-
Bowers, N. L., Jr., Gerber, H. U., Hickman, J. C., Jones, D. A., and Nesbitt, C. J. 1986. Actuarial Mathematics, 1st ed. Schaumburg, Ill.: Society of Actuaries.
-
(1986)
Actuarial Mathematics
-
-
Bowers, N.L.1
Gerber, H.U.2
Hickman, J.C.3
Jones, D.A.4
Nesbitt, C.J.5
-
9
-
-
84977707412
-
An Empirical Comparison of Alternative Models of the Short-Term Interest Rate
-
Chan, L., Karolyi, G., Longstaff, F., and Sanders, A. 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance 47:1209–27.
-
(1992)
Journal of Finance
, vol.47
, pp. 1209-1227
-
-
Chan, L.1
Karolyi, G.2
Longstaff, F.3
Sanders, A.4
-
10
-
-
0008164893
-
Interest Rate Dynamics, Derivatives Pricing, and Risk Manaǵement
-
New York: Sprinǵer
-
Chen, L. 1996. "Interest Rate Dynamics, Derivatives Pricing, and Risk Manaǵement," in Lecture Notes in Economics and Mathematical Systems 435. New York: Sprinǵer.
-
(1996)
Lecture Notes in Economics and Mathematical Systems
, pp. 435
-
-
Chen, L.1
-
11
-
-
21144470697
-
Pricinǵ Interest Rate Options in a Two-Factor Cox-Inǵersoll-Ross Model of the Term Structure
-
Chen, R.R., and Scott, L. 1992. "Pricinǵ Interest Rate Options in a Two-Factor Cox-Inǵersoll-Ross Model of the Term Structure," Review of Financial Studies 5:616–36.
-
(1992)
Review of Financial Studies
, vol.5
, pp. 616-636
-
-
Chen, R.R.1
Scott, L.2
-
12
-
-
0001989795
-
Term Structure Dynamics and Mortǵage Valuation
-
Cheyette, O. 1992. "Term Structure Dynamics and Mortǵage Valuation," Journal of Fixed Income 1, no. 4:28–41.
-
(1992)
Journal of Fixed Income
, vol.1
, Issue.4
, pp. 28-41
-
-
Cheyette, O.1
-
14
-
-
85011174812
-
A Theory of the Term Structure of Interest Rates
-
Cox, J.C., Ingersoll, J.E., Jr., and Ross, S.A. 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
-
15
-
-
33847554918
-
The Valuation of Options for Alternative Stochastic Processes
-
Cox, J.C., and Ross, S.A. 1976. "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics 3:145–66.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 145-166
-
-
Cox, J.C.1
Ross, S.A.2
-
16
-
-
49349118926
-
On the Term Structure of Interest Rates
-
Dothan, M.U. 1978. "On the Term Structure of Interest Rates," Journal of Financial Economics 6:59–69.
-
(1978)
Journal of Financial Economics
, vol.6
, pp. 59-69
-
-
Dothan, M.U.1
-
17
-
-
0030305091
-
A Yield-Factor Model of Interest Rates
-
Duffie, D., and Kan, R. 1996. "A Yield-Factor Model of Interest Rates," Mathematical Finance 6:379–406.
-
(1996)
Mathematical Finance
, vol.6
, pp. 379-406
-
-
Duffie, D.1
Kan, R.2
-
18
-
-
0010590729
-
Lonǵ Forward and Zero-Coupon Rates Can Never Fall
-
Dybvig, P.H., Ingersoll, J.E., Jr., and Ross, S.A. 1996. "Lonǵ 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.H.1
Ingersoll, J.E.2
Ross, S.A.3
-
19
-
-
0347907667
-
On the Behavior of Lonǵ Zero Coupon Rates in a No Arbitraǵe Framework
-
El Karoui, N., Frachot, A., and Geman, H. 1998. "On the Behavior of Lonǵ Zero Coupon Rates in a No Arbitraǵe Framework," Review of Derivatives Research 1:351–69.
-
(1998)
Review of Derivatives Research
, vol.1
, pp. 351-369
-
-
El Karoui, N.1
Frachot, A.2
Geman, H.3
-
20
-
-
38649141305
-
Martinǵales and Arbitraǵe in Multiperiod Securities Markets
-
Harrison, J.M., and Kreps, D.M. 1979. "Martinǵales and Arbitraǵe in Multiperiod Securities Markets," Journal of Economic Theory 20:381–408.
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, J.M.1
Kreps, D.M.2
-
21
-
-
41649091143
-
Martinǵales and Stochastic Inteǵrals in the Theory of Continuous Trading
-
Harrison, J.M., and Pliska, S.R. 1981. "Martinǵales and Stochastic Inteǵrals in the Theory of Continuous Trading," Stochastic Processes and Their Applications 11:215–60.
-
(1981)
Stochastic Processes and Their Applications
, vol.11
, pp. 215-260
-
-
Harrison, J.M.1
Pliska, S.R.2
-
22
-
-
0002674207
-
Bond Pricinǵ and the Term Structure of Interest Rates: A New Methodoloǵy for Continǵent Claims Valuation
-
Heath, D., Jarrow, R., and Morton, A. 1992. "Bond Pricinǵ and the Term Structure of Interest Rates: A New Methodoloǵy for Continǵent Claims Valuation," Econometrica 60:77–105.
-
(1992)
Econometrica
, vol.60
, pp. 77-105
-
-
Heath, D.1
Jarrow, R.2
Morton, A.3
-
23
-
-
84944829853
-
Term Structure Movements and Pricinǵ Interest Rate Continǵent Claims
-
Ho, T.S.Y., and Lee, S.B. 1986. "Term Structure Movements and Pricinǵ Interest Rate Continǵent Claims," Journal of Finance 41:1011–29.
-
(1986)
Journal of Finance
, vol.41
, pp. 1011-1029
-
-
Ho, T.S.Y.1
Lee, S.B.2
-
24
-
-
0040259646
-
Problems in Certain Two-Factor Term Structure Models
-
Hogan, M. 1993. "Problems in Certain Two-Factor Term Structure Models," Annals of Applied Probability 3:576–81.
-
(1993)
Annals of Applied Probability
, vol.3
, pp. 576-581
-
-
Hogan, M.1
-
25
-
-
0000520090
-
Pricinǵ Interest-Rate Derivative Securities
-
Hull, J., and White, A. 1990. "Pricinǵ Interest-Rate Derivative Securities," Review of Financial Studies 3:573–92.
-
(1990)
Review of Financial Studies
, vol.3
, pp. 573-592
-
-
Hull, J.1
White, A.2
-
26
-
-
0000224349
-
Bond and Option Evaluation in the Gaussian Interest Rate Model
-
Jamshidian, F. 1991. "Bond and Option Evaluation in the Gaussian Interest Rate Model," Research in Finance 9:131–70.
-
(1991)
Research in Finance
, vol.9
, pp. 131-170
-
-
Jamshidian, F.1
-
27
-
-
0001873357
-
A Multivariate Model of the Term Structure
-
Langetieg, T. 1980. "A Multivariate Model of the Term Structure," Journal of Finance 35:71–97.
-
(1980)
Journal of Finance
, vol.35
, pp. 71-97
-
-
Langetieg, T.1
-
28
-
-
0002531266
-
Common Factors Affectinǵ Bond Returns
-
Litterman, R., and Scheinkman, J. 1991. "Common Factors Affectinǵ Bond Returns," Journal of Fixed Income 1, no. 1: 54–61.
-
(1991)
Journal of Fixed Income
, vol.1
, Issue.1
, pp. 54-61
-
-
Litterman, R.1
Scheinkman, J.2
-
29
-
-
84977723797
-
Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model
-
Longstaff, F., and Schwartz, E. 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance 47:1259–82.
-
(1992)
Journal of Finance
, vol.47
, pp. 1259-1282
-
-
Longstaff, F.1
Schwartz, E.2
-
31
-
-
0002834716
-
Measurinǵ the Term Structure of Interest Rates
-
Mcculloh, J. H. 1971. "Measurinǵ the Term Structure of Interest Rates," Journal of Business 44:19–31.
-
(1971)
Journal of Business
, vol.44
, pp. 19-31
-
-
McCulloh, J.H.1
-
32
-
-
85011156069
-
A Dynamic General Equilibrium Model of the Asset Markets and Its Application to the Pricinǵ of the Capital Structure of the Firm
-
Workinǵ Paper no. 497-70, Massachusetts Institute of Technoloǵy, Cambridǵe, Mass. Reprinted in R. C. Merton
-
Merton, R. C. 1970. "A Dynamic General Equilibrium Model of the Asset Markets and Its Application to the Pricinǵ of the Capital Structure of the Firm," Workinǵ Paper no. 497-70, Massachusetts Institute of Technoloǵy, Cambridǵe, Mass. Reprinted in R. C. Merton, Continuous-Time Finance. 1990. Cambridǵe, Mass.: Basil Blackwell, pp. 357–87.
-
(1970)
Continuous-Time Finance. 1990. Cambridǵe, Mass.: Basil Blackwell
, pp. 357-387
-
-
Merton, R.C.1
-
33
-
-
0001491925
-
Parsimonious Modelinǵ of Yield Curves
-
Nelson, C. R., and Siegel, A. F. 1987. "Parsimonious Modelinǵ of Yield Curves," Journal of Business 60:473–89.
-
(1987)
Journal of Business
, vol.60
, pp. 473-489
-
-
Nelson, C.R.1
Siegel, A.F.2
-
34
-
-
0346647329
-
Arbitraǵe-Free Pricinǵ of Interest-Rate Continǵent Claims
-
Pedersen, H. W., Shiu, E. S. W., and Thorlacius, A. E. 1989. "Arbitraǵe-Free Pricinǵ of Interest-Rate Continǵent Claims," Transactions of the Society of Actuaries 41:231–65.
-
(1989)
Transactions of the Society of Actuaries
, vol.41
, pp. 231-265
-
-
Pedersen, H.W.1
Shiu, E.S.W.2
Thorlacius, A.E.3
-
35
-
-
80955156317
-
Volatility Structures of Forward Rates and the Dynamics of the Term Structure
-
Ritchken, P., and Sankarasubramanian, L. 1995. "Volatility Structures of Forward Rates and the Dynamics of the Term Structure," Mathematical Finance 5:55–72.
-
(1995)
Mathematical Finance
, vol.5
, pp. 55-72
-
-
Ritchken, P.1
Sankarasubramanian, L.2
-
36
-
-
0002304797
-
Which Model for Term Structure of Interest Rates Should One Use?
-
edited by M.H.A. Davis, D. Duffie, W.H. Fleming, and S.E. Shreve. New York: Sprinǵer
-
Rogers, L.C.G. 1995. "Which Model for Term Structure of Interest Rates Should One Use?" in Mathematical Finance, edited by M.H.A. Davis, D. Duffie, W.H. Fleming, and S.E. Shreve. New York: Sprinǵer, pp. 93–116.
-
(1995)
Mathematical Finance
, pp. 93-116
-
-
Rogers, L.C.G.1
-
37
-
-
0040259658
-
Gausian Errors
-
Rogers, L.C.G. 1996. "Gausian Errors," Risk 9:42–5.
-
(1996)
Risk
, vol.9
, pp. 42-45
-
-
Rogers, L.C.G.1
-
38
-
-
0000225762
-
Return, Risk and Arbitraǵe
-
edited by, Friend and J. Bicksler. Cambridǵe, Mass.: Ballinǵer
-
Ross, S.A. 1976. "Return, Risk and Arbitraǵe," in Risk and Return in Finance, edited by 1. Friend and J. Bicksler. Cambridǵe, Mass.: Ballinǵer, pp. 189–217.
-
(1976)
Risk and Return in Finance
, vol.1
, pp. 189-217
-
-
Ross, S.A.1
-
39
-
-
0001317539
-
A Simple Approach to the Valuation of Risky Streams
-
Ross, S.A. 1978. "A Simple Approach to the Valuation of Risky Streams," Journal of Business 3:453–76.
-
(1978)
Journal of Business
, vol.3
, pp. 453-476
-
-
Ross, S.A.1
-
41
-
-
0347078538
-
An Equilibrium Characterization of the Term Structure
-
Vasicek, O.A. 1977. "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics 5:177–88.
-
(1977)
Journal of Financial Economics
, vol.5
, pp. 177-188
-
-
Vasicek, O.A.1
-
42
-
-
0000608216
-
Term Structure Modelinǵ Usinǵ Exponential Splines
-
Vasicek, O.A., and Fong, H.G. 1982. "Term Structure Modelinǵ Usinǵ Exponential Splines," Journal of Finance 37:339–56.
-
(1982)
Journal of Finance
, vol.37
, pp. 339-356
-
-
Vasicek, O.A.1
Fong, H.G.2
-
43
-
-
38149147485
-
A Survey of Stochastic Continuous Time Models of the Term Structure of Interest Rates
-
Vetzal, K.R. 1994. "A Survey of Stochastic Continuous Time Models of the Term Structure of Interest Rates," Insurance: Mathematics and Economics 14:139–61.
-
(1994)
Insurance: Mathematics and Economics
, vol.14
, pp. 139-161
-
-
Vetzal, K.R.1
|