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Bond pricing and the term structure of interest rates
This paper presents a unifying theory for valuing contingent claims under a stochastic term structure of interest rates. The methodology, based on the equivalent martingale measure technique, takesExpand
Implied volatility functions in arbitrage-free term structure models
Abstract We test six term structure models in the Heath, Jarrow, and Morton (1992) class using Eurodollar futures and options data from 1987∗1992. We study the time series of implied interest rateExpand
We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed Traction of his portfolio value each time he trades. We focus on the infinite horizonExpand
Equivalent martingale measures and no-arbitrage in stochastic securities market models
We characterize those vector-valued stochastic processes (with a finite index set and defined on an arbitrarystochasic base) which can become a martingale under an equivalent change of measure.ThisExpand
Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation
This paper studies the binomial approximation to the continuous trading term structure model of Heath, Jarrow, and Morton (1987). The discrete time approximation makes the original methodologyExpand
Wages and earnings
In this issue the subject under consideration is wages and earnings. Scotland is relatively well-served with information on wages. The principal sources are the New Earnings Survey and the OctoberExpand
The Scottish economy [July 1978]
It is now clear that the UK economy is enjoying a consumer-led boom of the type which so characterised its behaviour during the fifties and sixties. Exhortations to export or investment-led growthExpand
Summary [January 1978]
This brief provides a summary of the world, UK and Scottish economic outlook. The upward movement in the Scotland/UK unemployment relative over the past few quarters is unlikely to portend a returnExpand
Review of the quarter's economic trends [January 1979]
While demand management policies in the major industrialised countries are in a state of concerted divergence, and there are mildly favourable economic prospects for 1979 in all of these countries,Expand