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

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

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

1992 • 3,196 citations

A second course in stochastic processes

1981 • 2,967 citations

Pricing Interest-Rate-Derivative Securities

1990 • 2,189 citations

An Empirical Comparison of Alternative Models of the Short‐Term Interest Rate

1992 • 1,641 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

Interest Rate Volatility and the Term Structure: A Two‐Factor General Equilibrium Model

1992 • 905 citations

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

1995 • 287 citations

A Multivariate Model of the Term Structure*

1980 • 220 citations

WHEN IS THE SHORT RATE MARKOVIAN?

1994 • 155 citations

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

1995 • 92 citations

Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing

1993 • 80 citations

A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES

1993 • 19 citations

Efficient numerical procedures for the Hull-White extended Vasicek model

1994 • 17 citations

A Numerical Procedure for the General One-Factor Interest Rate Model

1995 • 4 citations