SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Manuel Moreno, Federico Platania, A cyclical square-root model for the term structure of interest rates, European Journal of Operational Research, 2015, 241, 1, 109

    CrossRef

  2. 2
    Qiang Chen, Xu Zheng, Zhiyuan Pan, Asymptotically distribution-free tests for the volatility function of a diffusion, Journal of Econometrics, 2015, 184, 1, 124

    CrossRef

  3. 3
    Yujie Cai, Shaochen Wang, Central limit theorem and moderate deviation principle for CKLS model with small random perturbation, Statistics & Probability Letters, 2015, 98, 6

    CrossRef

  4. 4
    Jia-Ping Huang, Ushio Sumita, Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions, Applied Mathematics and Computation, 2015, 251, 453

    CrossRef

  5. 5
    Gabriel J Power, Charli D. Tandja M., Josée Bastien, Philippe Grégoire, Measuring infrastructure investment option value, The Journal of Risk Finance, 2015, 16, 1, 49

    CrossRef

  6. 6
    Marck Bulter, Miles Livingston, Lei Zhou, A Long-Term Perspective on the Determinants of Treasury Bond Stripping Levels, Financial Markets, Institutions & Instruments, 2014, 23, 4
  7. 7
    Jing-Tang Tsay, Che-Chun Lin, Larry J. Prather, Richard J. Buttimer, An approximation approach for valuing reverse mortgages, Journal of Housing Economics, 2014, 25, 39

    CrossRef

  8. 8
    Hwan-sik Choi, Minsoo Jeong, Joon Y. Park, An asymptotic analysis of likelihood-based diffusion model selection using high frequency data, Journal of Econometrics, 2014, 178, 539

    CrossRef

  9. 9
    Chung-Gee Lin, Wei-Ning Yang, Shu-Chuan Chen, Analyses of retirement benefits with options, Economic Modelling, 2014, 36, 130

    CrossRef

  10. 10
    Rongbao Gu, Xi Chen, Xinjie Li, Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate, Physica A: Statistical Mechanics and its Applications, 2014, 412, 101

    CrossRef

  11. 11
    Jonathan A. Batten, Karren Lee-Hwei Khaw, Martin R. Young, CONVERTIBLE BOND PRICING MODELS, Journal of Economic Surveys, 2014, 28, 5
  12. 12
    Jun Yu, ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS, Econometric Theory, 2014, 30, 04, 737

    CrossRef

  13. 13
    Tianhai Tian, Yanli Zhou, Yonghong Wu, Xiangyu Ge, Estimation of Parameters in Mean-Reverting Stochastic Systems, Mathematical Problems in Engineering, 2014, 2014, 1

    CrossRef

  14. 14
    Daniel Mitchell, Haolin Feng, Kumar Muthuraman, Impulse Control of Interest Rates, Operations Research, 2014, 62, 3, 602

    CrossRef

  15. 15
    Kannan Sivananthan Thuraisamy, Intra-market sovereign linkages of key Latin American markets, Economic Systems, 2014, 38, 2, 140

    CrossRef

  16. 16
    A. David, P. Veronesi, Investors' and Central Bank's Uncertainty Embedded in Index Options, Review of Financial Studies, 2014, 27, 6, 1661

    CrossRef

  17. 17
    Tore Selland Kleppe, Jun Yu, Hans J. Skaug, Maximum likelihood estimation of partially observed diffusion models, Journal of Econometrics, 2014, 180, 1, 73

    CrossRef

  18. 18
    Eric T. Swanson, John C. Williams, Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates†, American Economic Review, 2014, 104, 10, 3154

    CrossRef

  19. 19
    Eric T. Swanson, John C. Williams, Measuring the effect of the zero lower bound on yields and exchange rates in the U.K. and Germany, Journal of International Economics, 2014, 92, S2

    CrossRef

  20. 20
    Xili Zhang, Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes, Mathematical Problems in Engineering, 2014, 2014, 1

    CrossRef

  21. 21
    Yinggang Zhou, Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities, Journal of Banking & Finance, 2014, 38, 216

    CrossRef

  22. 22
    Cheng-Few Lee, Oleg Sokolinskiy, R-2GAM stochastic volatility model: flexibility and calibration, Review of Quantitative Finance and Accounting, 2014,

    CrossRef

  23. 23
    Ruijun Bu, Jie Cheng, Kaddour Hadri, Reducible diffusions with time-varying transformations with application to short-term interest rates, Economic Modelling, 2014,

    CrossRef

  24. 24
    Patrick Saart, Jiti Gao, Nam Hyun Kim, Semiparametric methods in nonlinear time series analysis: a selective review, Journal of Nonparametric Statistics, 2014, 26, 1, 141

    CrossRef

  25. 25
    Linkan Bian, Nagi Gebraeel, Stochastic framework for partially degradation systems with continuous component degradation-rate-interactions, Naval Research Logistics (NRL), 2014, 61, 4
  26. 26
    Yoon Dong Lee, Seongjoo Song, Eun-Kyung Lee, The delta expansion for the transition density of diffusion models, Journal of Econometrics, 2014, 178, 694

    CrossRef

  27. 27
    Ji Young Kim, Kiho Jeong, The research on daily temperature using continuous AR model, Journal of the Korean Data and Information Science Society, 2014, 25, 1, 155

    CrossRef

  28. 28
    Tat Wing Wong, Mei Choi Chiu, Hoi Ying Wong, Time-consistent mean–variance hedging of longevity risk: Effect of cointegration, Insurance: Mathematics and Economics, 2014, 56, 56

    CrossRef

  29. 29
    A.S. Hurn, K.A. Lindsay, A.J. McClelland, A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions, Journal of Econometrics, 2013, 172, 1, 106

    CrossRef

  30. 30
    Shu-lin Zhang, Zheng-hong Wei, Qiu-xiang Bi, A specification test of stochastic diffusion models, Acta Mathematicae Applicatae Sinica, English Series, 2013, 29, 3, 529

    CrossRef

  31. 31
    Yoon-Dong Lee, Eun-Kyung Lee, An Approximation of the Cumulant Generating Functions of Diffusion Models and the Pseudo-likelihood Estimation Method, Journal of the Korean Operations Research and Management Science Society, 2013, 38, 1, 201

    CrossRef

  32. 32
    Xiaoming Liu, Annuity Uncertainty with Stochastic Mortality and Interest Rates, North American Actuarial Journal, 2013, 17, 2, 136

    CrossRef

  33. 33
    Michael Martin, Assessing the model risk with respect to the interest rate term structure under Solvency II, The Journal of Risk Finance, 2013, 14, 3, 200

    CrossRef

  34. 34
    Ya-Wen Hwang, Shih-Chieh Bill Chang, Han-Cong Cai, Downside Risk Control in Continuous Time Portfolio Management, Asia-Pacific Journal of Financial Studies, 2013, 42, 6
  35. 35
    Vadim Khramov, Estimating Parameters of Short-Term Real Interest Rate Models, IMF Working Papers, 2013, 13, 212, 1

    CrossRef

  36. 36
    A. J. Lawrance, Exploratory graphics for financial time series volatility, Journal of the Royal Statistical Society: Series C (Applied Statistics), 2013, 62, 5
  37. 37
    Youngsoo Choi, Yoon-Dong Lee, Improved Generalized Method of Moment Estimators to Estimate Diffusion Models, Korean Journal of Applied Statistics, 2013, 26, 5, 767

    CrossRef

  38. 38
    Márcio Poletti Laurini, Luiz Koodi Hotta, Indirect Inference in fractional short-term interest rate diffusions, Mathematics and Computers in Simulation, 2013, 94, 109

    CrossRef

  39. 39
    Nan Chen, Zhengyu Huang, Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations, Mathematics of Operations Research, 2013, 38, 3, 591

    CrossRef

  40. 40
    Jianhai Bao, Chenggui Yuan, Long-term behavior of stochastic interest rate models with jumps and memory, Insurance: Mathematics and Economics, 2013, 53, 1, 266

    CrossRef

  41. 41
    Michael J. Alderson, Neil L. Seitz, Pension Policy and the Value of Corporate-Level Investment, Financial Management, 2013, 42, 2
  42. 42
    Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias, Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data, International Journal of Forecasting, 2013, 29, 3, 442

    CrossRef

  43. 43
    Joanna Goard, Mathew Mazur, STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS, Mathematical Finance, 2013, 23, 3
  44. 44
    Xuerong Mao, Lukasz Szpruch, Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients, Journal of Computational and Applied Mathematics, 2013, 238, 14

    CrossRef

  45. 45
    A. Rathinasamy, Baojian Yin, Strong solutions of a class of hybrid diffusion processes with state-dependent regime-switching, Applied Numerical Mathematics, 2013, 72, 72

    CrossRef

  46. 46
    Qi Zhang, Terminal-Dependent Statistical Inference for the Integral Form of FBSDE, Discrete Dynamics in Nature and Society, 2013, 2013, 1

    CrossRef

  47. 47
    Bin Chen, Zhaogang Song, Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach, Journal of Econometrics, 2013, 173, 1, 83

    CrossRef

  48. 48
    W. Keener Hughen, Carmelo Giaccotto, Po-Hsuan Hsu, The use of Bayes factors to compare interest rate term structure models, Quantitative Finance, 2013, 13, 3, 369

    CrossRef

  49. 49
    Cho-Hoi Hui, Tsz-Kin Chung, Chi-Fai Lo, Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities, Asia-Pacific Financial Markets, 2013, 20, 2, 131

    CrossRef

  50. 50
    Panagiotis Dontis-Charitos, Orla Gough, K. Ben Nowman, Sheeja Sivaprasad, Global Banking, Financial Markets and Crises, 2013,

    CrossRef

  51. 51
    S. C. Kou, Benjamin P. Olding, Martin Lysy, Jun S. Liu, A Multiresolution Method for Parameter Estimation of Diffusion Processes, Journal of the American Statistical Association, 2012, 107, 500, 1558

    CrossRef

  52. 52
    P. Balduzzi, I.-H. E. Chiang, A Simple Test of the Affine Class of Term Structure Models, Review of Asset Pricing Studies, 2012, 2, 2, 203

    CrossRef

  53. 53
    Alessandro De Gregorio, Stefano M. Iacus, ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES, Econometric Theory, 2012, 28, 04, 838

    CrossRef

  54. 54
    Toby Daglish, Nimesh Patel, Fixed Come Hell or High Water? Selection and Prepayment of Fixed-Rate Mortgages Outside the United States, Real Estate Economics, 2012, 40, 4
  55. 55
    Nicholas Taylor, Measuring the economic value of loan advice, Economics Letters, 2012, 117, 3, 615

    CrossRef

  56. 56
    Gregory Koutmos, Modeling interest rate volatility: an extended EGARCH approach, Managerial Finance, 2012, 38, 6, 628

    CrossRef

  57. 57
    PETER ALING, SHAKILL HASSAN, NO-ARBITRAGE ONE-FACTOR MODELS OF THE SOUTH AFRICAN TERM STRUCTURE OF INTEREST RATES, South African Journal of Economics, 2012, 80, 3
  58. 58
    Zhen Shi, Bas J.M. Werker, Short-horizon regulation for long-term investors, Journal of Banking & Finance, 2012, 36, 12, 3227

    CrossRef

  59. 59
    Udaibir S. Das, Yinqiu Lu, Michael G Papaioannou, Iva Petrova, Sovereign Risk and Asset and Liability Management: Conceptual Issues, IMF Working Papers, 2012, 12, 241, 1

    CrossRef

  60. 60
    Sangyeol Lee, Meihui Guo, Test for dispersion constancy in stochastic differential equation models, Applied Stochastic Models in Business and Industry, 2012, 28, 4
  61. 61
    Jian Huang, Masahito Kobayashi, Michael McAleer, Testing for the Box–Cox parameter for an integrated process, Mathematics and Computers in Simulation, 2012, 83, 1

    CrossRef

  62. 62
    Chaminda H. Baduraliya, Xuerong Mao, The Euler–Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model, Computers & Mathematics with Applications, 2012, 64, 7, 2209

    CrossRef

  63. 63
    Apostolos Kourtis, Raphael N. Markellos, Dimitris Psychoyios, Wine price risk management: International diversification and derivative instruments, International Review of Financial Analysis, 2012, 22, 30

    CrossRef

  64. 64
    Hong Jun Zhou, Ka Fai Cedric Yiu, Leong Kwan Li, Evaluating American put options on zero-coupon bonds by a penalty method, Journal of Computational and Applied Mathematics, 2011, 235, 13, 3921

    CrossRef

  65. 65
    Diep Duong, Norman R. Swanson, Missing Data Methods: Time-Series Methods and Applications, 2011,

    CrossRef

  66. 66
    Stochastic Differential Equations and Applications, 2011,

    CrossRef

  67. 67
    Massimo Guidolin, Missing Data Methods: Time-Series Methods and Applications, 2011,

    CrossRef

  68. 68
    Jury Falini, Pricing caps with HJM models: The benefits of humped volatility, European Journal of Operational Research, 2010, 207, 3, 1358

    CrossRef

  69. 69
    YASSINE EL QALLI, RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING, International Journal of Theoretical and Applied Finance, 2010, 13, 02, 301

    CrossRef

  70. 70
    Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  71. 71
    Monika Piazzesi, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  72. 72
    Yacine Aït-Sahalia, Lars Peter Hansen, José A. Scheinkman, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  73. 73
    Bo Martin Bibby, Martin Jacobsen, Michael Sørensen, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  74. 74
    S. DIMAS, K. ANDRIOPOULOS, D. TSOUBELIS, P. G. L. LEACH, COMPLETE SPECIFICATION OF SOME PARTIAL DIFFERENTIAL EQUATIONS THAT ARISE IN FINANCIAL MATHEMATICS, Journal of Nonlinear Mathematical Physics, 2009, 16, sup1, 73

    CrossRef

  75. 75
    Youah Lee, Crude Oil Price Dynamics Considering Structure Change Using CKLS Stochastic Models, Geosystem Engineering, 2009, 12, 2, 13

    CrossRef

  76. 76
    Ren-Raw Chen, Cheng-Few Lee, Han-Hsing Lee, Empirical Performance of the Constant Elasticity Variance Option Pricing Model, Review of Pacific Basin Financial Markets and Policies, 2009, 12, 02, 177

    CrossRef

  77. 77
    Zongwu Cai, Yongmiao Hong, Nonparametric Econometric Methods, 2009,

    CrossRef

  78. 78
    T.M. Christensen, A.S. Hurn, K.A. Lindsay, The Devil is in the Detail: Hints for Practical Optimisation, Economic Analysis and Policy, 2008, 38, 2, 345

    CrossRef

  79. 79
    Turan G. Bali, An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options, Management Science, 2007, 53, 2, 323

    CrossRef

  80. 80
    Robert F. Engle, Andrew J. Patton, Forecasting Volatility in the Financial Markets, 2007,

    CrossRef

  81. 81
    Carlo Mari, Roberto Renò, Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution, Applied Mathematical Finance, 2006, 13, 2, 143

    CrossRef

  82. 82
    Mark C. Freeman, Paul R. Cox, Brian Wright, Credit risk management, Managerial Finance, 2006, 32, 9, 761

    CrossRef

  83. 83
    EDMOND HAOCUN WU, PHILIP L. H. YU, PATTERN RECOGNITION OF THE TERM STRUCTURE USING INDEPENDENT COMPONENT ANALYSIS, International Journal of Pattern Recognition and Artificial Intelligence, 2006, 20, 02, 173

    CrossRef

  84. 84
    HOSSEIN KAZEMI, MAHNAZ MAHDAVI, BRETT SALAZAR, ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK, International Journal of Theoretical and Applied Finance, 2004, 07, 05, 577

    CrossRef

  85. 85
    Moorad Choudhry, Advanced Fixed Income Analysis, 2004,

    CrossRef

  86. 86
    DIMITRIS PSYCHOYIOS, GEORGE SKIADOPOULOS, PANAYOTIS ALEXAKIS, A Review of Stochastic Volatility Processes: Properties and Implications, The Journal of Risk Finance, 2003, 4, 3, 43

    CrossRef

  87. 87
    HIPÒLIT TORRÓ, VICENTE MENEU, ENRIC VALOR, Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables, The Journal of Risk Finance, 2003, 4, 4, 6

    CrossRef

  88. 88
    X. Sheldon Lin, Ken Seng Tan, Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates, North American Actuarial Journal, 2003, 7, 4, 72

    CrossRef

  89. 89
    RICCARDO REBONATO, WHICH PROCESS GIVES RISE TO THE OBSERVED DEPENDENCE OF SWAPTION IMPLIED VOLATILITY ON THE UNDERLYING?, International Journal of Theoretical and Applied Finance, 2003, 06, 04, 419

    CrossRef

  90. 90
    Zongwu Cai, Yongmiao Hong, Recent Advances and Trends in Nonparametric Statistics, 2003,

    CrossRef

  91. 91
    Bo Martin Bibby, Michael Sørensen, Handbook of Heavy Tailed Distributions in Finance, 2003,

    CrossRef

  92. 92
    GEORGI GEORGEV, JAY JUNG, HOSSEIN B. KAZEMI, MAHNAZ MAHDAVI, REVEALING THE MARKET PRICE OF RISK FROM THE SHORT-TERM RATE PROCESS, Studies in Economics and Finance, 2002, 20, 2, 19

    CrossRef

  93. 93
    Bob Korkie, Harry Turtle, Performance Measurement in Finance, 2002,

    CrossRef

  94. 94
    K.B. Nowman, G. Sorwar, An international comparison of pricing callable and puttable bonds in international financial markets, Managerial Finance, 2001, 27, 1/2, 99

    CrossRef

  95. 95
    S.L. Byers, K. Ben Nowman, Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets, Managerial Finance, 2001, 27, 1/2, 40

    CrossRef

  96. 96
    PETER LØCHTE JØRGENSEN, Life Insurance Contracts with Embedded Options, The Journal of Risk Finance, 2001, 3, 1, 19

    CrossRef

  97. 97
    Moshe Arye Milevsky, Optimal Annuitization Policies, North American Actuarial Journal, 2001, 5, 1, 57

    CrossRef

  98. 98
    V. Cvsa, P. Ritchken, Pricing Claims Under GARCH-Level Dependent Interest Rate Processes, Management Science, 2001, 47, 12, 1693

    CrossRef

  99. 99
    Marco Leber, Javier F. Navas, José Antonio Soler, Valoración de Bonos en el Mercado de Deuda del Estado con Modelos Estadísticos y Dinámicos de la ETTI, Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad, 2001, 30, 110, 1167

    CrossRef

  100. 100
    Moorad Choudhry, The Bond & Money Markets, 2001,

    CrossRef

  101. 101
    John L. Knight, Stephen E. Satchell, Guoqiang Wang, Return Distributions in Finance, 2001,

    CrossRef

  102. 102
    Jan Nygaard Nielsen, Henrik Madsen, Peter C. Young, Parameter estimation in stochastic differential equations: An overview, Annual Reviews in Control, 2000, 24, 83

    CrossRef

  103. 103
    Elias S. W. Shiu, “Long-Term Yield Rates for Actuarial Valuations”, Jacques F. Carriere, July, 1999, North American Actuarial Journal, 1999, 3, 3, 23

    CrossRef

  104. 104
    Alois L. J. Geyer, Stefan Pichler, A STATE-SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX-INGERSOLL-ROSS MODELS OF THE TERM STRUCTURE, Journal of Financial Research, 1999, 22, 1
  105. 105
    Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont, Nicole El-Karoui, Marc Potters, Phenomenology of the interest rate curve, Applied Mathematical Finance, 1999, 6, 3, 209

    CrossRef

  106. 106
    Yong Yao, Term Structure Models: A Perspective from the Long Rate, North American Actuarial Journal, 1999, 3, 3, 122

    CrossRef

  107. 107
    Maria B. Chiarolla, Ulrich G. Haussmann, Optimal Control of Inflation: A Central Bank Problem, SIAM Journal on Control and Optimization, 1998, 36, 3, 1099

    CrossRef

  108. 108
    Henry Buist, Tyler T. Yang, Pricing the competing risks of mortgage default and prepayment in stochastic metropolitan economies, Managerial Finance, 1998, 24, 9/10, 110

    CrossRef

  109. 109
    Spiros H. Martzoukos, Theodore M. Barnhill, THE SURVIVAL ZONE FOR A BOND WITH BOTH CALL AND PUT OPTIONS EMBEDDED, Journal of Financial Research, 1998, 21, 4
  110. 110
    RICHARD STANTON, A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk, The Journal of Finance, 1997, 52, 5
  111. You have free access to this content111
    Gurdip Bakshi, Charles Cao, Zhiwu Chen, Empirical Performance of Alternative Option Pricing Models, The Journal of Finance, 1997, 52, 5
  112. 112
    Edward W. Frees, Yueh-Chuan Kung, Marjorie A. Rosenberg, Virginia R. Young, Siu-Wai Lai, Forecasting Social Security Actuarial Assumptions, North American Actuarial Journal, 1997, 1, 4, 49

    CrossRef

  113. 113
    K. B. NOWMAN, Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates, The Journal of Finance, 1997, 52, 4
  114. 114
    Raymond J. Hawkins, Applying Maximum Entropy to Econometric Problems, 1997,

    CrossRef

  115. 115
    Yacine Aït-Sahalia, Modelling Stock Market Volatility, 1996,

    CrossRef

  116. 116
    A. Ronald Gallant, George Tauchen, Modelling Stock Market Volatility, 1996,

    CrossRef

  117. 117
    A.R. Pagan, A.D. Hall, V. Martin, Statistical Methods in Finance, 1996,

    CrossRef

  118. 118
    Robert F. Engle, Gary G.J. Lee, Modelling Stock Market Volatility, 1996,

    CrossRef

  119. 119
    Daniel B. Nelson, Modelling Stock Market Volatility, 1996,

    CrossRef

  120. 120
    FRANCIS A. LONGSTAFF, EDUARDO S. SCHWARTZ, A Simple Approach to Valuing Risky Fixed and Floating Rate Debt, The Journal of Finance, 1995, 50, 3
  121. 121
    ANLONG LI, PETER RITCHKEN, L. SANKARASUBRAMANIAN, Lattice Models for Pricing American Interest Rate Claims, The Journal of Finance, 1995, 50, 2
  122. 122
    Terry A. Marsh, Finance, 1995,

    CrossRef

  123. 123
    KEVIN B. GRIER, MARK J. PERRY, The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity, The Journal of Finance, 1993, 48, 4
  124. 124
    Bibliography,
  125. 125
    Estimation of Stochastic Models for Finance,
  126. 126
    Klaus Sandmann, Term Structure Models, Wiley Encyclopedia of Management,
  127. 127
    David Audley, Richard Chin, Peter C. L. Lin, Shrikant Ramamurthy, The Dynamic Term Structure Model, Encyclopedia of Financial Models,