Abstract: An Equilibrium Characterization of the Term Structure

Keywords

Computer science

References

• Introduction to Stochastic Control TheoryK. Åström — 1970
• Stock prices, inflation, and the term structure of interest ratesJ. Bradford De Long — 1974
• An Estimate of the Liquidity PremiumJ. Huston McCulloch — 1975
• INVESTMENT DIVERSIFICATION AND BOND MATURITYRichard Roll — 1971
• The Term Structure of Interest Rates.G. O. Bierwag, Charles R. Nelson — 1972
• The Pricing of Options and Corporate LiabilitiesFischer Black, Myron S. Scholes — 1973
• AN INTERTEMPORAL CAPITAL ASSET PRICING MODELRobert C. Merton — 1973
• The Behavior of Interest Rates: An Application of the Efficient Market Model to URichard Roll — 1970
• Stochastic Differential EquationsA. Friedman — 1975
• Optimum Consumption and Portfolio Rules in a Continuous-Time Model*R. C. Merton — 1975

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• Core and ‘Crust’: Consumer Prices and the Term Structure of Interest RatesAndrea Ajello, Luca Benzoni, Olena Chyruk — 2012
• The Term Structures of Oil Futures PricesJacques Gabillon — 1991
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• Financial contracts on electricity in the Nordic power marketWolfgang Kispert — 2005
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• General Restrictions on Prices of Financial Derivatives Written on Underlying DiffusionsYaacov Z. Bergman — 1998

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