Publication date
January 1993
DOIAbstract
The paper proposes a simple arbitrage free approach for modelling bond prices. A natural structure of the volatility and expected return premium of bond price processes is directly obtained
The paper proposes a simple arbitrage free approach for modelling bond prices. A natural structure of the volatility and expected return premium of bond price processes is directly obtained
This paper develops restrictions that arbitrage-constrained bond prices impose on the short-term rat...
We derive closed-form solutions for the equilibrium prices of bonds, bond forwards, bond futures, op...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
This article proposes a new approach to bond price dynamics. By means of exponential formulae and a ...
The paper proposes a simple arbitrge free approach for modelling bond prices. A natural structure of...
The paper proposes a general model for pricing of derivative securities with different maturity. The...
A partial equilibrium valuation model for a security, based on the idea of contingent claims analysi...
This article proposes a new approach to bond price dynamics. By means of exponential formulae and a ...
The paper derives a general form of the term structure of interest rates. The following assump-tions...
A key area of study in the world of financial derivatives is the modelling of the short-term interes...
We consider a single factor Heath-Jarrow-Morton model with a forward rate volatility function depend...
This paper examines the market price of risk for discount bond prices under an aftine term structur...
A pricing formula for discount bonds, based on the consideration of the market perception of future ...
Abstract. This essay discusses a class of arbitrage-free interest rate models that has tractable bon...
This paper examines the market price of risk for discount bond prices under an affine term structure...
This paper develops restrictions that arbitrage-constrained bond prices impose on the short-term rat...
We derive closed-form solutions for the equilibrium prices of bonds, bond forwards, bond futures, op...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
This article proposes a new approach to bond price dynamics. By means of exponential formulae and a ...
The paper proposes a simple arbitrge free approach for modelling bond prices. A natural structure of...
The paper proposes a general model for pricing of derivative securities with different maturity. The...
A partial equilibrium valuation model for a security, based on the idea of contingent claims analysi...
This article proposes a new approach to bond price dynamics. By means of exponential formulae and a ...
The paper derives a general form of the term structure of interest rates. The following assump-tions...
A key area of study in the world of financial derivatives is the modelling of the short-term interes...
We consider a single factor Heath-Jarrow-Morton model with a forward rate volatility function depend...
This paper examines the market price of risk for discount bond prices under an aftine term structur...
A pricing formula for discount bonds, based on the consideration of the market perception of future ...
Abstract. This essay discusses a class of arbitrage-free interest rate models that has tractable bon...
This paper examines the market price of risk for discount bond prices under an affine term structure...
This paper develops restrictions that arbitrage-constrained bond prices impose on the short-term rat...
We derive closed-form solutions for the equilibrium prices of bonds, bond forwards, bond futures, op...
This dissertation provides an introduction to the concept of no arbitrage pricing and probability me...
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