The Relationship Between Risk and Maturity In A Stochastic Setting
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Cites work
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Coincidence probabilities
- Functional Integration and Partial Differential Equations. (AM-109)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing interest-rate-derivative securities
- Term structure of interest rates: The martingale approach
- The pricing of options and corporate liabilities
Cited in
(10)- MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- Risk analysis for a stochastic cash manangement model with two type of customers
- Maturity-Independent Risk Measures
- Sensitivity of stock returns to changes in the term structure of interest rates -- evidence from the German market
- Total positivity and relative convexity of option prices
- When are option prices \(\mathrm{TP}_2\)?
- Stochastic models for broker inventory in dealership markets with a cash management interpretation.
- Trading TP 2 option violations
- Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
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