Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
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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.
- Goldstein, Robert S, 2000. "The Term Structure of Interest Rates as a Random Field," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 365-384.
- Santa-Clara, Pedro & Sornette, Didier, 2001.
"The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks,"
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Society for Financial Studies, vol. 14(1), pages 149-185.
- P. Santa-Clara & D. Sornette, 1998. "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks," Papers cond-mat/9801321, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-29 (All new papers)
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