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There are 55495 results for: content related to: Stochastic Processes for Interest Rates and Equilibrium Bond Prices

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    An Empirical Comparison of Alternative Models of the Short-Term Interest Rate

    The Journal of Finance

    Volume 47, Issue 3, July 1992, Pages: 1209–1227, K. C. CHAN, G. ANDREW KAROLYI, FRANCIS A. LONGSTAFF and ANTHONY B. SANDERS

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1992.tb04011.x

  2. An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options

    The Journal of Finance

    Volume 54, Issue 1, February 1999, Pages: 269–305, Wolfgang Bühler, Marliese Uhrig-Homburg, Ulrich Walter and Thomas Weber

    Article first published online : 6 MAY 2003, DOI: 10.1111/0022-1082.00104

  3. Continuous-Time Methods in Finance: A Review and an Assessment

    The Journal of Finance

    Volume 55, Issue 4, August 2000, Pages: 1569–1622, Suresh M. Sundaresan

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00261

  4. Time-Dependent Variance and the Pricing of Bond Options

    The Journal of Finance

    Volume 42, Issue 5, December 1987, Pages: 1113–1128, STEPHEN M. SCHAEFER and EDUARDO S. SCHWARTZ

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1987.tb04356.x

  5. An Analytic Solution for Interest Rate Swap Spreads

    International Review of Finance

    Volume 2, Issue 3, September 2001, Pages: 113–149, Mark Grinblatt

    Article first published online : 12 FEB 2003, DOI: 10.1111/1468-2443.00022

  6. Transition Densities for Interest Rate and Other Nonlinear Diffusions

    The Journal of Finance

    Volume 54, Issue 4, August 1999, Pages: 1361–1395, Yacine Aït-Sahalia

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00149

  7. Risk-free bond prices in incomplete markets with recursive multiple-prior utilities

    International Journal of Economic Theory

    Volume 2, Issue 2, June 2006, Pages: 135–157, Chiaki Hara and Atsushi Kajii

    Article first published online : 15 JUN 2006, DOI: 10.1111/j.1742-7363.2006.00028.x

  8. Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives

    The Journal of Finance

    Volume 45, Issue 4, September 1990, Pages: 1181–1209, BENI LAUTERBACH and PAUL SCHULTZ

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1990.tb02432.x

  9. Computing the Constant Elasticity of Variance Option Pricing Formula

    The Journal of Finance

    Volume 44, Issue 1, March 1989, Pages: 211–219, MARK SCHRODER

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1989.tb02414.x

  10. Conditional Predictions of Bond Prices and Returns

    The Journal of Finance

    Volume 35, Issue 2, May 1980, Pages: 405–417, MICHAEL J. BRENNAN and EDUARDO S. SCHWARTZ

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1980.tb02170.x

  11. Pricing Contingent Claims under Interest Rate and Asset Price Risk

    The Journal of Finance

    Volume 44, Issue 3, July 1989, Pages: 571–589, NAOKI KISHIMOTO

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1989.tb04379.x

  12. Term Premia and Interest Rate Forecasts in Affine Models

    The Journal of Finance

    Volume 57, Issue 1, February 2002, Pages: 405–443, Gregory R. Duffee

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00426

  13. Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates

    The Journal of Finance

    Volume 52, Issue 1, March 1997, Pages: 409–430, KRISTIAN R. MILTERSEN, KLAUS SANDMANN and DIETER SONDERMANN

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb03823.x

  14. A two-factor, preference-free model for interest rate sensitive claims

    Journal of Futures Markets

    Volume 15, Issue 3, May 1995, Pages: 345–372, Ren-Raw Chen

    Article first published online : 28 AUG 2006, DOI: 10.1002/fut.3990150305

  15. A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates

    The Journal of Finance

    Volume 36, Issue 4, September 1981, Pages: 769–799, JOHN C. COX, JONATHAN E. INGERSOLL JR. and STEPHEN A. ROSS

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1981.tb04884.x

  16. Option Prices, Implied Price Processes, and Stochastic Volatility

    The Journal of Finance

    Volume 55, Issue 2, April 2000, Pages: 839–866, Mark Britten-Jones and Anthony Neuberger

    Article first published online : 17 DEC 2002, DOI: 10.1111/0022-1082.00228

  17. An empirical comparison of continuous time models of the short term interest rate

    Journal of Futures Markets

    Volume 19, Issue 7, October 1999, Pages: 777–797, Turan G. Bali

    Article first published online : 7 SEP 1999, DOI: 10.1002/(SICI)1096-9934(199910)19:7<777::AID-FUT3>3.0.CO;2-G

  18. A Tax-Induced Clientele for Index-Linked Corporate Bonds

    The Journal of Finance

    Volume 43, Issue 5, December 1988, Pages: 1257–1263, SHALOM HOCHMAN and ODED PALMON

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1988.tb03968.x

  19. Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models

    Journal of Futures Markets

    Volume 20, Issue 8, September 2000, Pages: 717–751, Turan G. Bali

    Article first published online : 18 AUG 2000, DOI: 10.1002/1096-9934(200009)20:8<717::AID-FUT2>3.0.CO;2-A

  20. Stochastic Volatilities and Correlations of Bond Yields

    The Journal of Finance

    Volume 62, Issue 3, June 2007, Pages: 1491–1524, BING HAN

    Article first published online : 8 MAY 2007, DOI: 10.1111/j.1540-6261.2007.01242.x