Modeling the term structure of interest rates: A new approach

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Continuous Martingales and Brownian Motion

1999 • 6,391 citations

An equilibrium characterization of the term structure

1977 • 6,242 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Valuing American Options by Simulation: A Simple Least-Squares Approach

2001 • 3,244 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

Martingales and stochastic integrals in the theory of continuous trading

1981 • 2,903 citations

The Malliavin Calculus and Related Topics

2006 • 2,789 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Brownian motion and stochastic calculus

1991 • 2,447 citations

Multidimensional Diffusion Processes

1997 • 2,053 citations

Specification Analysis of Affine Term Structure Models

2000 • 1,864 citations

Term Premia and Interest Rate Forecasts in Affine Models

2002 • 1,656 citations

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

1992 • 1,641 citations

A General Version of the Fundamental Theorem of Asset Pricing (1994)

2008 • 1,557 citations

The Malliavin Calculus and Related Topics

1995 • 1,550 citations

A general version of the fundamental theorem of asset pricing

1994 • 1,382 citations

MULTI-DIMENSIONAL DIFFUSION PROCESSES

1980 • 1,316 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 1,256 citations

A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options

1990 • 956 citations

Two Singular Diffusion Problems

1951 • 872 citations

An Exact Bond Option Formula

1989 • 652 citations

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

1992 • 462 citations

A Theory of the Nominal Term Structure of Interest Rates

1992 • 423 citations

Randomization and the American Put

1998 • 412 citations

A Parametric Nonlinear Model of Term Structure Dynamics

1999 • 351 citations

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

2002 • 340 citations

Term Structure Movements and Pricing Interest Rate Contingent Claims

1986 • 320 citations

Statistical Analysis of Random Fields

1989 • 245 citations

[Abstracts of Conference Papers]

1977 • 239 citations

Long Forward and Zero-Coupon Rates Can Never Fall

1996 • 221 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

An Exact Bond Option Formula

1989 • 174 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

Characterizing Gaussian Models of the Term Structure of Interest Rates

1997 • 104 citations

Continuous martingales and brownian motion

1993 • 102 citations

A simple class of square-root interest-rate models

1995 • 59 citations

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market

1999 • 50 citations

The Second Fundamental Theorem of Asset Pricing: A New Approach

1999 • 49 citations

Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

2001 • 42 citations

The Second Fundamental Theorem of Asset Pricing

1999 • 37 citations

APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES

1995 • 35 citations

Statistical Analysis of Random Fields.

1990 • 34 citations

Deleted Work

1955 • 0 citations