Wher do One-Factor Interest Rate Models Fail?
- 30 September 1995
- journal article
- Published by With Intelligence LLC in The Journal of Fixed Income
- Vol. 5 (2) , 31-52
- https://doi.org/10.3905/jfi.1995.408145
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Common Factors Affecting Bond ReturnsThe Journal of Fixed Income, 1991
- Pricing Interest-Rate-Derivative SecuritiesThe Review of Financial Studies, 1990
- Simple Binomial Processes as Diffusion Approximations in Financial ModelsThe Review of Financial Studies, 1990
- A One-Factor Model of Interest Rates and Its Application to Treasury Bond OptionsCFA Magazine, 1990
- An Exact Bond Option FormulaThe Journal of Finance, 1989
- A Multivariate Model of the Term StructureThe Journal of Finance, 1980
- A continuous time approach to the pricing of bondsJournal of Banking & Finance, 1979
- An equilibrium characterization of the term structureJournal of Financial Economics, 1977
- The pricing of commodity contractsJournal of Financial Economics, 1976