Valuation of cash flows under random rates of interest: A linear algebraic approach
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- Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
- Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
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- Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
- Cairns, Andrew J. G., 1995. "The Present Value of a Series of Cashflows: Convergence in a Random Environment," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 25(02), pages 81-94, November.
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- 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.
- Zaks, Abraham, 2001. "Annuities under random rates of interest," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 1-11, February.
- KOCH, Inge & DE SCHEPPER, Ann, . "General annuities under truncate stochastic interest rates," Working Papers 2004016, University of Antwerp, Faculty of Applied Economics.
- Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003. "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 457-460, July.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
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