Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation - Concepedia

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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Citations

14

References

1992

Year

David Heath, Robert A. Jarrow, A. J. Morton

Abstract

David Heath, Robert Jarrow, Andrew Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 77-105

References

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A Theory of the Term Structure of Interest Rates John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross Econometrica Empirical FinanceMonetary PolicyEconomicsFinancial EconomicsAsset Pricing	1985	8.5K
Stochastic Differential Equations and Diffusion Processes Gopinath Kallianpur, Nobuyuki Ikeda, Shinzo Watanabe Technometrics EngineeringDiffusion ProcessesStochastic ProcessesDiffusion ProcessStochastic Calculus	1983	3.9K
Martingales and stochastic integrals in the theory of continuous trading J. Michael Harrison, Stanley R. Pliska Stochastic Processes and their Applications EngineeringIntegrable ProbabilityContinuous TradingStochastic CalculusStochastic Dynamical System	1981	2.9K
Term Structure Movements and Pricing Interest Rate Contingent Claims Thomas S. Y. Ho, Sang Bin Lee The Journal of Finance Empirical FinanceEconomicsOption PricingFinancial EconomicsAsset Pricing	1986	1.3K
Two Singular Diffusion Problems William Feller Annals of Mathematics Singular Diffusion ProblemsDiffusion ProcessAnomalous DiffusionSingularly Perturbed Problem	1951	880
A continuous time approach to the pricing of bonds Michael J. Brennan, Eduardo S. Schwartz Journal of Banking & Finance EconomicsTerm Structure ModelAsset PricingContinuous Time ApproachDerivative Pricing	1979	811
Stochastic Calculus and Applications. Saul Jacka, Robert J. Elliott Journal of the Royal Statistical Society Series D (The Statistician) Stochastic SimulationEngineeringStochastic ProcessesStochastic SystemStochastic Calculus	1986	697
An Exact Bond Option Formula Farshid Jamshidian The Journal of Finance Option PricingTerm Structure ModelFinancial EconomicsAsset PricingChemical Bond	1989	640
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation David Heath, Robert A. Jarrow, A. J. Morton Journal of Financial and Quantitative Analysis	1990	348
A Multivariate Model of the Term Structure* Terence C. Langetieg The Journal of Finance Term Structure ModelMultidimensional AnalysisMorphologyMultivariate ModelLanguage Studies	1980	216

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