Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation

Keywords

Term (time), Yield curve, Bond, Interest rate, Econometrics

References

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• Term Structure Movements and Pricing Interest Rate Contingent ClaimsThomas S. Y. Ho, Sang Bin Lee — 1986
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• Martingales and stochastic integrals in the theory of continuous tradingJ. Michael Harrison, Stanley R. Pliska — 1981
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• Time-Dependent Variance and the Pricing of Bond OptionsStephen M. Schaefer, Eduardo S. Schwartz — 1987
• A continuous time approach to the pricing of bondsMichael J. Brennan, Eduardo S. Schwartz — 1979
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• A Multivariate Model of the Term StructureTerence C. Langetieg — 1980
• Bond Price Dynamics and OptionsClifford A. Ball, Walter N. Torous — 1983

Cited by

• Real Estate Price Measurement and Stability CrisesNancy Wallace — 2011
• Nonparametric Methods in Continuous-Time Finance: A Selective ReviewZongwu Cai, Yongmiao Hong — 2003
• Forward Measures in a Ho and Lee Jump Diffusion ModelDavid B. Colwell, Solene Arcus — 2001
• Les modèles HJM et LMM revisitésFrançois‐Éric Racicot, Raymond Théoret — 2006
• A Stochastic Programming Model for Currency Option HedgingJason Wu, Suvrajeet Sen — 2000
• Flight-to-Quality phenomenon as a source of financial instabilityMariya Gubareva — 2013
• El modelo de Black, Derman y Toy en la práctica: aplicación al mercado español de deuda públicaMarta Tolentino García-Abadillo, Antonio Díaz — 2006
• The Term Structures of Oil Futures PricesJacques Gabillon — 1991
• Financial Risk Modelling and Econometric InferenceBent Jesper Christensen — 2003
• What Does Yield Curve Smoothness MeanVincent Brousseau, Benjamin Sahel — 2001
• Discrete Time Term Structure Theory and Consistent Recalibration ModelsAnja Richter, Josef Teichmann — 2014
• Market Risk and Financial Markets ModelingDidier Sornette, Hilary Woodard, Sergey Ivliev — 2012
• Tax Clientele Effects in the German Bond MarketRichard Stehle, Stefan R. Jaschke, Stephan Wernicke — 1998
• Essays on Lifetime Uncertainty: Models, Applications, and Economic ImplicationsNan Zhu — 2012
• On the term structure of forwards, futures and interest ratesCamilla Landén — 2001
• Applications of Stochastic calculus in economy and statistics: Extensions of the Kyle-Back model. Ambit processes and power variation.Gergely Farkas — 2014
• Volatility Models of the Yield CurveVictor Goodman — 2008
• Benchmarking modern multiprocessorsKai Li, Christian Bienia — 2011
• A Note to Correct Modeling Term Structures of Defaultable BondsDae Il Kang — 2010
• Time Deformation and the Yield CurveMark Salmon, Wing Wah Tham — 2007

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