Pricing Fixed-Income Securities in an Information-Based Framework
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References listed on IDEAS
- David Heath & Robert Jarrow & Andrew Morton, 2008.
"Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305
World Scientific Publishing Co. Pte. Ltd..
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrea Macrina & Priyanka A. Parbhoo, 2010. "Security Pricing with Information-Sensitive Discounting," Papers 1001.3570, arXiv.org, revised Jun 2010.
- Andrea Macrina & Priyanka A. Parbhoo, 2010. "Securities Pricing with Information-Sensitive Discounting," KIER Working Papers 695, Kyoto University, Institute of Economic Research.
- Gabriele Sarais & Damiano Brigo, 2014. "Inflation securities valuation with macroeconomic-based no-arbitrage dynamics," Papers 1403.7799, arXiv.org, revised Jul 2014.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-14 (All new papers)
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