• NEP-ALL-2001-10-22 (All new papers)

1. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July. [Downloadable!] (restricted)
2. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)
3. Niizeki, Mikiyo Kii, 1998. "A Comparison of Short-Term Interest Rate Models: Empirical Tests of Interest Rate Volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 8(5), pages 505-12, October. [Downloadable!] (restricted)
4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November. [Downloadable!] (restricted)
5. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, September.
6. Cox, John C & Ross, Stephen A, 1976. "A Survey of Some New Results in Financial Option Pricing Theory," Journal of Finance, American Finance Association, vol. 31(2), pages 383-402, May. [Downloadable!] (restricted)
7. Beaglehole, David & Tenney, Mark, 1992. "Corrections and additions to 'a nonlinear equilibrium model of the term structure of interest rates'," Journal of Financial Economics, Elsevier, vol. 32(3), pages 345-353, December. [Downloadable!] (restricted)
8. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
   Other versions:
   • F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
   • Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March. [Downloadable!] (restricted)
9. 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)
10. Longstaff, Francis A., 1989. "A nonlinear general equilibrium model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 23(2), pages 195-224, August. [Downloadable!] (restricted)
11. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April. [Downloadable!] (restricted)
12. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
    Other versions:
    • Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March. [Downloadable!] (restricted)
14. Clifford A. Ball & Walter N. Torous, 1999. "The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2339-2359, December. [Downloadable!] (restricted)
15. Longstaff, Francis A., 1992. "Multiple equilibria and term structure models," Journal of Financial Economics, Elsevier, vol. 32(3), pages 333-344, December. [Downloadable!] (restricted)
16. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
17. Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 75-100, March. [Downloadable!]
18. Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. " General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December. [Downloadable!] (restricted)
19. Bajeux, I. & Rochet, J.C., 1994. "Dynamic Spanning: Are Options an Appropriate Instrument?," Papers 94.329, Toulouse - GREMAQ.
20. Longstaff, Francis A & Schwartz, Eduardo S, 1992. " Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-82, September. [Downloadable!] (restricted)
21. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June. [Downloadable!] (restricted)
22. Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
    • Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
23. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(3), pages 549-84.
24. Gallant, A. Ronald & Tauchen, George, 1997. "Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions," Working Papers 97-09, Duke University, Department of Economics.
25. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
26. Marsh, Terry A & Rosenfeld, Eric R, 1983. " Stochastic Processes for Interest Rates and Equilibrium Bond Prices," Journal of Finance, American Finance Association, vol. 38(2), pages 635-46, May. [Downloadable!] (restricted)
27. Christopher T. Downing, 1999. "Nonparametric Estimation of Multifactor Continuous Time Interest-Rate Models," Computing in Economics and Finance 1999 111, Society for Computational Economics. [Downloadable!]
28. Ahn, Dong-Hyun & Gao, Bin, 1999. "A Parametric Nonlinear Model of Term Structure Dynamics," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 721-62.
29. Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, . "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 1-96, Wharton School Rodney L. White Center for Financial Research.
    Other versions:
    • Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, . "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 01-96, Wharton School Rodney L. White Center for Financial Research.
30. Chapman, David A & Long, John B, Jr & Pearson, Neil D, 1999. "Using Proxies for the Short Rate: When Are Three Months Like an Instant?," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(4), pages 763-806.
    Other versions:
    • David A. Chapman & John B. Long Jr. & Neil D. Pearson, 1998. "Using Proxies for the Short Rate: When are Three Months Like an Instant?," Finance 9808004, EconWPA, revised 07 Oct 1998. [Downloadable!]
31. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(3), pages 525-77.
32. Jagannathan, Ravi, 1984. "Call options and the risk of underlying securities," Journal of Financial Economics, Elsevier, vol. 13(3), pages 425-434, September. [Downloadable!] (restricted)
33. Chris Downing, 1999. "Nonparametric estimation of multifactor continuous time interest rate models," Finance and Economics Discussion Series 1999-62, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

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1. Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies. [Downloadable!]
   Other versions:
   • Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group. [Downloadable!] (restricted)
   • Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," Econometric Society 2004 North American Summer Meetings 223, Econometric Society. [Downloadable!]
2. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)