On pricing kernels and finite-state variable Heath Jarrow Morton models
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Cites work
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A theory of the term structure of interest rates
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- 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.
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing interest-rate-derivative securities
- VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
Cited in
(8)- An extended Heath-Jarrow-Morton risk-neutral drift
- Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework
- Pricing caps with HJM models: the benefits of humped volatility
- HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
- Heat kernel models for asset pricing
- Randomised mixture models for pricing kernels
- Randomised mixture models for pricing kernels
- IMPLIED KERNEL MODELS
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