Discrete-Time Continuous-State Interest Rate Models
Download full text from publisherTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
References listed on IDEAS
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- F. Fornari & A. Mele, 1998.
"ARCH Models and Option Pricing : The Continuous Time Connection,"
THEMA Working Papers
98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics.
- Huang, Chi-fu, 1987. "An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information," Econometrica, Econometric Society, vol. 55(1), pages 117-142, January.
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometric Society, vol. 64(3), pages 527-560, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Broze, Laurence & Scaillet, Olivier & Zako an, Jean-Michel, 1998.
"Quasi-Indirect Inference For Diffusion Processes,"
Cambridge University Press, vol. 14(02), pages 161-186, April.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1995. "Quasi Indirect Inference for Diffusion Processes," CORE Discussion Papers 1995005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1998. "Quasi-indirect inference for diffusion processes," CORE Discussion Papers RP 1327, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
- Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 205-227.
- Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dan Pirjol, 2015. "Hogan-Weintraub singularity and explosive behaviour in the Black-Derman-Toy model," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1243-1257, July.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf9:913. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sceeeea.html .
We have no references for this item. You can help adding them by using this form .