On pricing kernels and finite-state variable Heath Jarrow Morton models
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Publication:375245
DOI10.1007/BF01536396zbMATH Open1274.91451MaRDI QIDQ375245FDOQ375245
George Pennacchi, L. Sankarasubramanian, Peter Ritchken
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
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Cites Work
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Martingales and stochastic integrals in the theory of continuous trading
- An Intertemporal General Equilibrium Model of Asset Prices
- Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation.
- Implied volatility functions in arbitrage-free term structure models.
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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