The surprise element: Jumps in interest rates. (Q1858907): Difference between revisions

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+Nonparametric Pricing of Interest Rate Derivative Securities
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+Post-'87 crash fears in the S\&P 500 futures option market
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+Reconsidering the continuous time limit of the GARCH(1,1) process
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+Exact solutions for bond and option prices with systematic jump risk
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+ARCH models as diffusion approximations
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+Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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+Estimation of affine asset pricing models using the empirical characteristic function
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