A stability result for the HARA class with stochastic interest rates

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

An equilibrium characterization of the term structure

Oldrich A Vasicek · Journal of Financial Economics · 1977 · 6.3K citations

Social Sciences, Economics, Microeconomics +7

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

Social Sciences, Economics, Finance +17

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

Engineering, Finance, Mathematics +14