Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility
Data up to Jan 2025
Total Citations Per Year
Abstract
References (51)
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
1993 • 8,830 citations
A Theory of the Term Structure of Interest Rates
1985 • 8,604 citations
Dynamic Asset Pricing Theory.
1993 • 3,202 citations
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
1992 • 3,196 citations
The pricing of commodity contracts
1976 • 2,931 citations
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 • 2,898 citations
A YIELD‐FACTOR MODEL OF INTEREST RATES
1996 • 2,625 citations
Modeling Term Structures of Defaultable Bonds
1999 • 2,575 citations
Pricing Interest-Rate-Derivative Securities
1990 • 2,189 citations
An Intertemporal General Equilibrium Model of Asset Prices
1985 • 2,096 citations
Methods of Mathematical Finance
1998 • 2,025 citations
Common Factors Affecting Bond Returns
1991 • 1,873 citations
Specification Analysis of Affine Term Structure Models
2000 • 1,864 citations
An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate
1992 • 1,641 citations
Options, Futures, and Other Derivative Securities.
1990 • 1,297 citations
Martingale Methods in Financial Modelling
1997 • 1,138 citations
Methods of Mathematical Finance
1998 • 932 citations
Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model
1992 • 905 citations
Two Singular Diffusion Problems
1951 • 872 citations
An Econometric Model of the Term Structure of Interest-Rate Swap Yields
1997 • 652 citations
Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates
1993 • 608 citations
Estimating continuous-time stochastic volatility models of the short-term interest rate
1997 • 531 citations
Quadratic Term Structure Models: Theory and Evidence
2002 • 482 citations
Mathematics of Derivative Securities
1998 • 359 citations
Another Look at Models of the Short-Term Interest Rate
1996 • 335 citations
VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE1
1995 • 287 citations
Explorations Into Factors Explaining Money Market Returns
1994 • 283 citations
The Log Contract
1994 • 281 citations
On the Term Structure of Default Premia in the Swap and LIBOR Markets
2001 • 257 citations
The Price of a Smile: Hedging and Spanning in Option Markets
2001 • 243 citations
A Multivariate Model of the Term Structure*
1980 • 220 citations
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
2001 • 183 citations
The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
2001 • 182 citations
A Simple Approach to Three-Factor Affine Term Structure Models
1996 • 176 citations
Volatility and the Yield Curve
1991 • 166 citations
The Term Structure of Interest Rates as a Random Field
2000 • 160 citations
THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
1994 • 155 citations
WHEN IS THE SHORT RATE MARKOVIAN?
1994 • 155 citations
Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
2001 • 120 citations
Fixed–income volatility management
1991 • 107 citations
Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
1997 • 105 citations
Characterizing Gaussian Models of the Term Structure of Interest Rates
1997 • 104 citations
The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
1999 • 99 citations
Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics
1995 • 92 citations
Relative Pricing of Options with Stochastic Volatility
1998 • 75 citations
Markov Representation of the Heath-Jarrow-Morton Model
2001 • 72 citations
Factor dependence of Bermudan swaptions: fact or fiction?
2001 • 72 citations
Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market
1999 • 50 citations
Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework
2001 • 42 citations
Modeling the term structure of interest rates: A new approach
2003 • 40 citations
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
2001 • 28 citations