On pricing kernels and finite-state variable Heath Jarrow Morton models
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Publication:375245
DOI10.1007/BF01536396zbMATH Open1274.91451MaRDI QIDQ375245FDOQ375245
Authors: 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
Cited In (8)
- Pricing caps with HJM models: the benefits of humped volatility
- Heat kernel models for asset pricing
- HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
- Randomised mixture models for pricing kernels
- An extended Heath-Jarrow-Morton risk-neutral drift
- IMPLIED KERNEL MODELS
- Pricing models of foreign bond futures options under Heath-Jarrow-Morton framework
- Randomised mixture models for pricing kernels
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