On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245): Difference between revisions

@@ Property / author @@
-Peter H. Ritchken
@@ Property / author: Peter H. Ritchken / rank @@
-Normal rank
@@ Property / author @@
+Peter H. Ritchken
@@ Property / author: Peter H. Ritchken / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B25
@@ Property / Mathematics Subject Classification ID: 91B25 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220644
@@ Property / zbMATH DE Number: 6220644 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+pricing kernel
@@ Property / zbMATH Keywords: pricing kernel / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite-state bond models
@@ Property / zbMATH Keywords: finite-state bond models / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Q2760388
@@ Property / cites work: Q2760388 / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal General Equilibrium Model of Asset Prices
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+Q2760384
@@ Property / cites work: Q2760384 / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:375245