A Jump Difusion Yield Factor Model of Interest Rate
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Bibliographic InfoPaper provided by Finance Lab, Insper Instituto de Ensino e Pesquisa in its series Finance Lab Working Papers with number flwp_37.
Date of creation: Oct 2001
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- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometric Society, vol. 64(3), pages 527-60, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Ahn, Chang Mo & Thompson, Howard E, 1988. " Jump-Diffusion Processes and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 43(1), pages 155-74, March.
- Attari, Mukarram, 1999. "Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(03), pages 293-322, September.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
"Consistency Problems for Jump-diffusion Models,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 12(2), pages 101-119.
- Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246 Elsevier.
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