Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation
D Heath, R Jarrow, A Morton - Econometrica: Journal of the Econometric …, 1992 - JSTOR
This paper presents a unifying theory for valuing contingent claims under a stochastic term
structure of interest rates. The methodology, based on the equivalent martingale measure …
structure of interest rates. The methodology, based on the equivalent martingale measure …
Term structure movements and pricing interest rate contingent claims
TSY Ho, SB Lee - the Journal of Finance, 1986 - Wiley Online Library
This paper derives an arbitrage‐free interest rate movements model (AR model). This model
takes the complete term structure as given and derives the subsequent stochastic movement …
takes the complete term structure as given and derives the subsequent stochastic movement …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Interest rate volatility and the term structure: A two‐factor general equilibrium model
FA Longstaff, ES Schwartz - The Journal of Finance, 1992 - Wiley Online Library
We develop a two‐factor general equilibrium model of the term structure. The factors are the
short‐term interest rate and the volatility of the short‐term interest rate. We derive closed …
short‐term interest rate and the volatility of the short‐term interest rate. We derive closed …
Modeling the term structure of interest rates: A review of the literature
R Gibson, FS Lhabitant, D Talay - Foundations and Trends® …, 2010 - nowpublishers.com
The last decades have seen the development of a profusion of theoretical models of the term
structure of interest rates. The aim of this survey is to provide a comprehensive review of …
structure of interest rates. The aim of this survey is to provide a comprehensive review of …
[PDF][PDF] Mathematics of Financial Markets
RJ Elliott - 2005 - dspace.kottakkalfarookcollege.edu …
This work is aimed at an audience with a sound mathematical background wishing to learn
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …
about the rapidly expanding? eld of mathematical? nance. Its content is suitable particularly …
A parametric nonlinear model of term structure dynamics
DH Ahn, B Gao - The Review of Financial Studies, 1999 - academic.oup.com
Recent nonparametric estimation studies pioneered by Aït-Sahalia document that the
diffusion of the short rate is similar to the parametric function, estimated by Chan et al …
diffusion of the short rate is similar to the parametric function, estimated by Chan et al …
A nonlinear general equilibrium model of the term structure of interest rates
FA Longstaff - Journal of financial economics, 1989 - Elsevier
We derive and test an alternative closed-form general equilibrium model of the term
structure within the Cox, Ingersoll, and Ross theoretical framework in which yields are …
structure within the Cox, Ingersoll, and Ross theoretical framework in which yields are …
On modelling speculative prices: the empirical literature
Traditionally, financial theory and in particular asset pricing models have assumed (implicitly
or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure …
or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure …
The potential approach to the term structure of interest rates and foreign exchange rates
LCG Rogers - Mathematical Finance, 1997 - Wiley Online Library
It is possible to specify a model for interest rates in various ways, by giving the dynamics of
the spot rate or of the forward rates, for example. A less well–developed approach is to …
the spot rate or of the forward rates, for example. A less well–developed approach is to …