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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 2 (April)
Pages: 178-203
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Handle: RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203

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Related research

Keywords: Variance swaps; Options on variance; Market models; Arbitrage-free term structure dynamics; Heath–Jarrow–Morton theory; Consistent parametrizations; 91B24; G13;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January. [Downloadable!] (restricted)
2. Hans Buehler, 2006. "Expensive martingales," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 207-218, June. [Downloadable!] (restricted)
3. Bent Jesper Christensen & Tomas Björk, . "Interest Rate Dynamics and Consistent Forward Rate Curves," Management Working Papers 1999-4, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Björk, Tomas & Christensen, Bent Jesper, 1997. "Interest Rate Dynamics and Consistent Forward Rate Curves," Working Paper Series in Economics and Finance 209, Stockholm School of Economics. [Downloadable!]

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This page was last updated on 2009-12-22.