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Citations for "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities"

by Hull, John & White, Alan

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  1. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  2. Fabio Mercurio & Juan Moraleda, 2001. "A family of humped volatility models," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 93-116.
  3. van Haastrecht, Alexander & Plat, Richard & Pelsser, Antoon, 2010. "Valuation of guaranteed annuity options using a stochastic volatility model for equity prices," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 266-277, December.
  4. Marti G. Subrahmanyam & Anurag Gupta, 1998. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-068, New York University, Leonard N. Stern School of Business-.
  5. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
  6. David K. Backus & Silverio Foresi & Stanley E. Zin, 1994. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," Working Papers 94-28, New York University, Leonard N. Stern School of Business, Department of Economics.
  7. Francois-Éric Racicot & Raymond Théoret, 2006. "Les modèles HJM et LMM revisités," RePAd Working Paper Series UQO-DSA-wp042006, Département des sciences administratives, UQO.
  8. Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
  9. Jean-Philippe BOUCHAUD & Rama CONT & Nicole EL KAROUI & Marc POTTERS & Nicolas SAGNA, 1997. "Phenomenology of the interest curve," Finance 9712009, EconWPA.
  10. Nikolaos Panigirtzoglou & James Proudman & John Spicer, 2000. "Persistence and volatility in short-term interest rates," Bank of England working papers 116, Bank of England.
  11. Dennis Kristensen, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
  12. Lingfei Li & Vadim Linetsky, 2012. "Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models," Papers 1204.3679, arXiv.org.
  13. Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
  14. Patric H. Hendershott & Charles W.R. Ward, 2002. "Valuing and Pricing Retail Leases with Renewal and Overage Options," NBER Working Papers 9214, National Bureau of Economic Research, Inc.
  15. 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.
  16. Dahlquist, Magnus, 1996. "On alternative interest rate processes," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1093-1119, July.
  17. Hong, Yongmiao & Li, Haitao, 2002. "Nonparametric specification testing for continuous-time models with application to spot interest rates," SFB 373 Discussion Papers 2002,32, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  18. Buraschi, Andrea & Corielli, Francesco, 2005. "Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2883-2907, November.
  19. repec:wyi:journl:002109 is not listed on IDEAS
  20. Michael W. Brandt & Amir Yaron, 2003. "Time-Consistent No-Arbitrage Models of the Term Structure," NBER Working Papers 9458, National Bureau of Economic Research, Inc.
  21. Bams, Dennis & Schotman, Peter C., 2003. "Direct estimation of the risk neutral factor dynamics of Gaussian term structure models," Journal of Econometrics, Elsevier, vol. 117(1), pages 179-206, November.
  22. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1997. "Phenomenology of the interest rate curve," Science & Finance (CFM) working paper archive 500048, Science & Finance, Capital Fund Management.
  23. Sorwar, Ghulam & Barone-Adesi, Giovanni & Allegretto, Walter, 2007. "Valuation of derivatives based on single-factor interest rate models," Global Finance Journal, Elsevier, vol. 18(2), pages 251-269.
  24. Fabio Mercurio & Juan M. Moraleda, 1996. "A Family of Humped Volatility Structures," Tinbergen Institute Discussion Papers 96-169/2, Tinbergen Institute.
  25. Moraleda, Juan M. & Vorst, Ton C. F., 1997. "Pricing American interest rate claims with humped volatility models," Journal of Banking & Finance, Elsevier, vol. 21(8), pages 1131-1157, August.
  26. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
  27. Griselda Deelstra & Grégory Rayée, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
  28. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
  29. Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
  30. A. Sullivan, Michael, 2001. "Discrete-time continuous-state interest rate models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 1001-1017, June.
  31. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  32. Brandt, Michael W. & Wu, Tao, 2002. "Cross-sectional tests of deterministic volatility functions," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 525-550, December.
  33. Jury Falini, 2009. "Pricing caps with HJM models: the benefits of humped volatility," Department of Economics University of Siena 563, Department of Economics, University of Siena.
  34. Schlögl, Erik & Daniel Sommer, 1994. "On Short Rate Processes and Their Implications for Term Structure Movements," Discussion Paper Serie B 293, University of Bonn, Germany.
  35. David Backus & Silverio Foresi & Chris Telmer, 1998. "Discrete-Time Models of Bond Pricing," NBER Working Papers 6736, National Bureau of Economic Research, Inc.
  36. Nowak, Piotr & Romaniuk, Maciej, 2013. "Pricing and simulations of catastrophe bonds," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 18-28.
  37. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," 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 11, pages 639-742 Elsevier.
  38. Lucia, Julio J. & Schwartz, Eduardo, 2000. "Electricity prices and power derivatives: Evidence from the Nordic Power Exchange," University of California at Los Angeles, Anderson Graduate School of Management qt12w8v7jj, Anderson Graduate School of Management, UCLA.
  39. Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 107-133, March.
  40. Egorov, Alexei V. & Li, Haitao & Xu, Yuewu, 2003. "Maximum likelihood estimation of time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 114(1), pages 107-139, May.
  41. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
  42. Bartolini, Leonardo & Prati, Alessandro, 1999. "Soft exchange rate bands and speculative attacks: theory, and evidence from the ERM since August 1993," Journal of International Economics, Elsevier, vol. 49(1), pages 1-29, October.
  43. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre.
  44. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
  45. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute.
  46. Hatem Ben-Ameur & Michèle Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics.
  47. Carlo Mari & Roberto Reno, 2006. "Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 143-153.
  48. Phelim Boyle & Ken Seng Tan & Weidong Tian, 2001. "Calibrating the Black-Derman-Toy model: some theoretical results," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 27-48.
  49. Barnhill Jr., Theodore M. & Maxwell, William F., 2002. "Modeling correlated market and credit risk in fixed income portfolios," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 347-374, March.
  50. Lee, Jae Ha & Stock, Duane R., 2000. "Embedded options and interest rate risk for insurance companies, banks and other financial institutions," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 169-187.
  51. Juan M. Moraleda & Ton Vorst, 1996. "The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market," Tinbergen Institute Discussion Papers 96-170/2, Tinbergen Institute.
  52. Dennis Kristensen, 2004. "A semiparametric single-factor model of the term structure," LSE Research Online Documents on Economics 24741, London School of Economics and Political Science, LSE Library.
  53. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
  54. Date, Paresh & Wang, Chieh, 2009. "Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting," European Journal of Operational Research, Elsevier, vol. 195(1), pages 156-166, May.
  55. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
  56. van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
  57. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
  58. repec:dgr:uvatin:2096169 is not listed on IDEAS
  59. 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.
  60. Isela Elizabeth Téllez León & Francisco Venegas Martínez, 2013. "Principales determinantes en las decisiones de política monetaria de México: un análisis econométrico," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 28(1), pages 79-108.
  61. repec:dgr:uvatin:2096170 is not listed on IDEAS
  62. Schloegl, Erik & Daniel Sommer, 1997. "Factor Models and the Shape of the Term Structure," Discussion Paper Serie B 395, University of Bonn, Germany.
  63. Ren-Raw Chen & Tyler Yang, 1999. "A universal lattice," Review of Derivatives Research, Springer, vol. 3(2), pages 115-133, May.
  64. Fabio Mercurio & Juan M. Moraleda, 1996. "A Family of Humped Volatility Structures," Tinbergen Institute Discussion Papers 96-169/2, Tinbergen Institute.
  65. Vetzal, Kenneth R., 1997. "Stochastic volatility, movements in short term interest rates, and bond option values," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 169-196, February.
  66. Schönbucher, Philipp J., 1996. "The Term Structure of Defaultable Bond Prices," Discussion Paper Serie B 384, University of Bonn, Germany.