On the construction of finite dimensional realizations for nonlinear forward rate models

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992 • 3,196 citations

Pricing Interest-Rate-Derivative Securities

1990 • 2,189 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Term Structure Models Driven by General Lévy Processes

1999 • 296 citations

VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE¹

1995 • 287 citations

A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON

1994 • 212 citations

On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models

2001 • 172 citations

WHEN IS THE SHORT RATE MARKOVIAN?

1994 • 155 citations

A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models

1998 • 124 citations

Minimal realizations of interest rate models

1999 • 102 citations

Transformation of Heath?Jarrow?Morton models to Markovian systems

1997 • 100 citations

Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

2001 • 95 citations

Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics

1995 • 92 citations