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On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models

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  • Alvarez, Luis H. R.

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  • Alvarez, Luis H. R., 2001. "On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 83-90, February.
    • Handle: RePEc:eee:insuma:v:28:y:2001:i:1:p:83-90
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Longstaff, Francis A., 1993. "The valuation of options on coupon bonds," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 27-42, February.
    3. Robert C. Merton, 1975. "An Asymptotic Theory of Growth Under Uncertainty," Review of Economic Studies, Oxford University Press, vol. 42(3), pages 375-393.
    4. Alvarez, Luis H. R., 1998. "Zero coupon bonds and affine term structures: reconsidering the one-factor model," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 85-90, October.
    5. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
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    Cited by:

    1. Alvarez, Luis H. R. & Koskela, Erkki, 2005. "Wicksellian theory of forest rotation under interest rate variability," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 529-545, March.
    2. Erik Ekstrom & Johan Tysk, 2007. "Convexity theory for the term structure equation," Papers math/0702435, arXiv.org.
    3. Erik Ekström & Johan Tysk, 2008. "Convexity theory for the term structure equation," Finance and Stochastics, Springer, vol. 12(1), pages 117-147, January.

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