6,061 Citations
Towards a general theory of bond markets
- MathematicsFinance Stochastics
- 1997
It is shown that a market is approximately complete iff an equivalent martingale measure is unique and two constructions of stochastic integrals with respect to processes taking values in a space of continuous functions are suggested.
Research articles A term structure model with preferences for the timing of resolution of uncertainty
- Economics
- 1997
Summary. In this paper we present a model of the term structure of interest rates with imperfect information and stochastic differential utility, a form of non-additive recursive utility. A principal…
A Geometric View of Interest Rate Theory
- Mathematics
- 2000
The purpose of this essay is to give an overview of some recent workconcerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to…
A Theory of the Nominal Term Structure of Interest Rates
- Economics
- 1992
A model of the nominal term structure of interest rates is developed that has a positive and stationary process for the interest rate and delivers closed-form expressions for the prices of discount…
The term structure of interest rates: the case of imperfect information
- Economics[1991] Proceedings of the 30th IEEE Conference on Decision and Control
- 1991
The authors consider the problem of valuation of bonds in a market with an imperfectly observable state variable. A natural way to transform the problem of valuation of bonds in an imperfect…
The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
- EconomicsJournal of Financial and Quantitative Analysis
- 1999
Abstract The objective of this paper is twofold. First, the paper develops a class of models of the term structure of interest rates, in the Heath, Jarrow, and Morton (1992) framework, with dynamics…
A New Approach to the Valuation of Interest Rate Derivatives: Arrow-Debreu Prices Implicit in the Term Structure of Interest Rates
- Economics
- 1998
In a complete, arbitrage-free securities market, the value of a discount bond is modeled in terms of the pricing kernel and the transition density function of the spot interest rate process. The…
References
SHOWING 1-10 OF 11 REFERENCES
An Estimate of the Liquidity Premium
- EconomicsJournal of Political Economy
- 1975
The liquidity premium on U.S. government securities is quantitatively estimated and tabulated, using maturities from 1 month to 30 years. Unbiased forecasting by the market is assumed in order to get…
The Pricing of Options and Corporate Liabilities
- EconomicsJournal of Political Economy
- 1973
If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this…
The Behavior of Interest Rates: An Application of the Efficient Market Model to U
- Chemistry
- 1970
An alkaline detergent composition containing a citrus fragrance stabilized by the inclusion of 1 to 15% by weight of a boron compound selected from the group consisting of boric oxide, boric acid and…
AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL
- Economics
- 1973
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime…