A two-factor, preference-free model for interest rate sensitive claims-Reference-Cited by-同舟云学术

A two-factor, preference-free model for interest rate sensitive claims

Published:1995-05 Issue:3 Volume:15 Page:345-372
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Chen Ren-Raw

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference40 articles.

1. (1974): Stochastic Differential Equations: Theory and Applications. New York: Wiley.

2. The pricing of commodity contracts

3. , and (1990, January–February): “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options,” Financial Analyst Journal, 33–39.

4. The Pricing of Options and Corporate Liabilities

5. and (1979): “A Continuous Time Approach to the Pricing of Bonds,” Journal of Banking And Finance, 133–155.

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow Rate Term Structure Models;The Quarterly Journal of Finance;2023-12

2. Futures minimum variance hedge ratio determination: An ex-ante analysis;The North American Journal of Economics and Finance;2020-11

3. The Persistent Element of the No-Arbitrage Framework: Discount Rates, Bases, and Opportunity Cost of Collateral;SSRN Electronic Journal;2017

4. Zerotopia Bounded and Unbounded Pension Adventures (Term Structure Modelling with and without Negative Short Rates);SSRN Electronic Journal;2016

5. Value-at-Risk for fixed-income portfolios: a Kalman filtering approach;IMA Journal of Management Mathematics;2015-05-22