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Term Structure Movements and Pricing Interest Rate Contingent Claims.. (1986). Lee, Sang-bin ; Ho, Thomas S Y, .
In: Journal of Finance.
RePEc:bla:jfinan:v:41:y:1986:i:5:p:1011-29.

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  92. A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market. (2014). .
    In: Journal of Emerging Market Finance.
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  93. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. (2014). Douady, Raphael.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  94. Real Term Structure and Inflation Compensation in the Euro Area. (2014). Pericoli, Marcello.
    In: International Journal of Central Banking.
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  95. ADDITION OF THE FUZZY LOGIC MODEL TO BLACK-SCHOLES, FOR PRICING MEXICAN CURRENCY OPTIONS, LA INCORPORACION DE LA LOGICA DIFUSA AL MODELO BLACK-SCHOLES, PARA LA DETERMINACION DEL PRECIO DE LA OPCION CA. (2014). Ochoa, Ezequiel Aviles ; Palma, Manuel Munoz .
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  96. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. (2014). Douady, Raphael.
    In: Post-Print.
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  97. Yield Curve Smoothing and Residual Variance of Fixed Income Positions. (2014). Douady, Raphael.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-01151276.

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  98. New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models. (2014). Preda, Vasile ; Dedu, Silvia ; Sheraz, Muhammad .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:407:y:2014:i:c:p:350-359.

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  99. Intra-market sovereign linkages of key Latin American markets. (2014). Thuraisamy, Kannan.
    In: Economic Systems.
    RePEc:eee:ecosys:v:38:y:2014:i:2:p:140-160.

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  100. The deterministic shift extension and the affine dynamic Nelson–Siegel model. (2014). HILLION, ALAIN ; DANG-NGUYEN, STEPHANE ; le Caillec, Jean-Marc.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:402-417.

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  101. Interest rate models and Whittaker functions. (2014). Muravey, Dmitry .
    In: Papers.
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  102. Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
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  103. A Path-Independent Humped Volatility Model for Option Pricing. (2013). Costabile, Massimo ; Russo, Emilio.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:20:y:2013:i:3:p:191-210.

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  104. Interest Rate Derivatives. (2013). Beyna, Ingo.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnecms:978-3-642-34925-6.

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  105. The Cheyette Model Class. (2013). Beyna, Ingo.
    In: Lecture Notes in Economics and Mathematical Systems.
    RePEc:spr:lnechp:978-3-642-34925-6_2.

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  106. Discounting axioms imply risk neutrality. (2013). Sobel, Matthew .
    In: Annals of Operations Research.
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  107. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Bouri, Abdelfettah ; Jarraya, Bilel.
    In: International Journal of Finance & Banking Studies.
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  108. Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008. (2013). Hemminga, Marcus ; Molenaars, Tomas K. ; Reinerink, Nick H..
    In: MPRA Paper.
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  109. A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry. (2013). Jarraya, Bilel ; Bouri, Abdelfettah.
    In: MPRA Paper.
    RePEc:pra:mprapa:53534.

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  110. Pricing securities with multiple risks: A case of exchangeable debt. (2013). Mateti, Ravi S. ; Puri, Tribhuvan ; Hegde, Shantaram P..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:3:p:1018-1028.

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  111. Pricing and risk management of interest rate swaps. (2013). Date, Paresh ; Wang, I-Chieh, ; Mitra, Sovan ; Mamon, Rogemar.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:228:y:2013:i:1:p:102-111.

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  112. Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions. (2013). Choi, Seungmoon.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:174:y:2013:i:2:p:45-65.

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  113. Equity, commodity and interest rate volatility derivatives. (2013). Balbas, Alejandro ; Blanco, Ivan ; Navarro, Eliseo .
    In: INDEM - Working Paper Business Economic Series.
    RePEc:cte:idrepe:id-13-02.

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  114. Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility. (2013). Feunou, Bruno ; Chang, Bo Young.
    In: Staff Working Papers.
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  115. Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time. (2012). Kang, Boda ; Chiarella, Carl ; Beyna, Ingo .
    In: Research Paper Series.
    RePEc:uts:rpaper:317.

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  116. Bonds and Options in Exponentially Affine Bond Models. (2012). Bermin, Hans-Peter .
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:19:y:2012:i:6:p:513-534.

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  117. Estimation of the Term Structure of Interest Rates: Methodology and Applications. (2012). Gimeno, Ricardo ; Berenguer, Emma ; Berenguer-Carceles, Emma ; Nave, Juan M..
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  118. Forecasting Term Structure of HIBOR Swap Rates. (2012). Tai, Shih-Wen ; Kuo, Mei-Mei ; Lin, Bing-Huei.
    In: The International Journal of Business and Finance Research.
    RePEc:ibf:ijbfre:v:6:y:2012:i:4:p:87-100.

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  119. Estimation of semiparametric locally stationary diffusion models. (2012). LINTON, OLIVER ; Koo, Bonsoo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:170:y:2012:i:1:p:210-233.

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  120. Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman. (2012). Pantoja, Javier ; Javier Orlando Pantoja Robayo, ; Castao, Rogelio Maldonado ; Rueda, Natalia Zapata .
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  121. One numerical procedure for two risk factors modeling. (2011). Cocozza, Rosa ; De Simone, Antonio .
    In: MPRA Paper.
    RePEc:pra:mprapa:30859.

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  122. Estimation risk in covariance. (2011). Cho, David D.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:12:y:2011:i:4:d:10.1057_jam.2011.14.

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  123. Semi-Markov regime switching interest rate models and minimal entropy measure. (2011). Hunt, Julien ; Devolder, Pierre.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:21:p:3767-3781.

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  124. Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models. (2011). Yu, Wei-Choun ; Zivot, Eric .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y::i:2:p:579-591.

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  125. Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models. (2011). Yu, Wei-Choun ; Zivot, Eric .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:27:y:2011:i:2:p:579-591.

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  126. Exponential change of measure applied to term structures of interest rates and exchange rates. (2011). Bo, Lijun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:2:p:216-225.

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  127. Semi Markov regime switching interest rate models and minimal entropy measure. (2011). Devolder, Pierre ; Hunt, Julien .
    In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences).
    RePEc:aiz:louvad:2011010.

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  128. Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions. (2011). Choi, Seungmoon.
    In: School of Economics Working Papers.
    RePEc:adl:wpaper:2011-26.

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  129. STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE:. (2010). Bhar, Ramaprasad.
    In: World Scientific Books.
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  130. Lattice methods for no-arbitrage pricing of interest rate securities. (2010). Daglish, Toby .
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  131. Lattice methods for no-arbitrage pricing of interest rate securities. (2010). Daglish, Toby.
    In: Working Paper Series.
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  132. Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU. (2010). Sagner, Andres ; Becerra, Juan ; Alfaro, Rodrigo.
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  133. Long-term interest rates and consol bond valuation. (2010). Villaverde, Michael ; Medova, Elena A.
    In: Journal of Asset Management.
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  134. Modeling the Term Structure of Interest Rates: A Review of the Literature. (2010). Talay, Denis ; Gibson, Rajna ; Lhabitant, Francois-Serge .
    In: Foundations and Trends(R) in Finance.
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  135. A comparison of single factor Markov-functional and multi factor market models. (2010). Pietersz, Raoul ; Pelsser, Antoon.
    In: Review of Derivatives Research.
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  136. Zero-Coupon Yield Curve Estimation with the Package termstrc. (2010). Ferstl, Robert ; Hayden, Josef .
    In: Journal of Statistical Software.
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  137. Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. (2010). Rulliere, Didier ; PLANCHET, Frédéric ; Faleh, Alaeddine.
    In: Post-Print.
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  138. Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?. (2010). Rulliere, Didier ; PLANCHET, Frédéric ; Faleh, Alaeddine .
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  139. Chinas official rates and bond yields. (2010). Johansson, Anders ; Fan, Longzhen .
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    RePEc:eee:jbfina:v:34:y:2010:i:5:p:996-1007.

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  140. Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums. (2010). Hurlimann, Werner.
    In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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  141. Derivatives, Risk Management & Value. (2009). Bellalah, Mondher.
    In: World Scientific Books.
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  142. Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options. (2009). Lin, YuehNeng ; Kuo, Idoun.
    In: Review of Financial Economics.
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  143. Implied deterministic volatility functions: An empirical test for Euribor options. (2009). Kuo, IDoun ; Wang, Kaili .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:29:y:2009:i:4:p:319-347.

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  144. Arbitrage Theory in Continuous Time. (2009). Bjork, Tomas .
    In: OUP Catalogue.
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  145. A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives. (2009). Trolle, Anders B. ; Schwartz, Eduardo S..
    In: Review of Financial Studies.
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  146. Parsimonious modeling and forecasting of corporate yield curve. (2009). Yu, Wei-Choun ; Salyards, Donald M..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:28:y:2009:i:1:p:73-88.

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  147. CHINAS OFFICIAL RATES AND BOND YIELDS. (2009). Johansson, Anders ; Fan, Longzhen .
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  148. Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options. (2009). Kuo, I-Doun, ; Lin, Yueh-Neng .
    In: Review of Financial Economics.
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  149. Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management. (2009). Tang, Christopher S. ; Sodhi, ManMohan S..
    In: International Journal of Production Economics.
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  150. Estimation and inference in the yield curve model with an instantaneous error term. (2009). Fukushige, Mototsugu ; UBUKATA, M..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:9:p:2938-2946.

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  151. Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates. (2009). Farmer, J. ; Geanakoplos, John.
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  152. A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives. (2009). Wu, Liuren ; Heidari, Massoud .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:44:y:2009:i:03:p:517-550_99.

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  153. Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates. (2009). Farmer, J. ; Geanakoplos, John.
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  154. Valuing Surrender Options in Korean Interest Indexed Annuities. (2009). Kim, Changki.
    In: Asia-Pacific Journal of Risk and Insurance.
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  155. Les G\en\erateurs de Sc\enarios \Economiques : quelle utilisation en assurance?. (2009). Rulliere, Didier ; Faleh, Alaeddine ; Fr'ed'eric Planchet, .
    In: Papers.
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  156. The Term Structure of Interest Rates. (2009). Jarrow, Robert.
    In: Annual Review of Financial Economics.
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  157. Asymptotic Maturity Behavior of the Term Structure. (2008). Schulze, Klaas.
    In: Bonn Econ Discussion Papers.
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  158. Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market. (2008). Steeley, James.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:40:y:2008:i:7:p:1489-1512.

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  159. Rischio e incertezza in finanza: classificazione e logiche di gestione.. (2008). Erzegovesi, Luca.
    In: Alea Tech Reports.
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  160. Finite-dimensional Realizations of Regime-switching HJM Models. (2008). Elhouar, Mikael.
    In: Applied Mathematical Finance.
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  161. Pricing Bonds in the Australian Market. (2008). Sullivan, James ; Bilson, Christopher M. ; Brailsford, Timothy J. ; Treepongkaruna, Sirimon.
    In: Australian Journal of Management.
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  162. A Dynamic Model for the Forward Curve. (2008). Stine, Robert .
    In: Review of Financial Studies.
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  163. Declining Discount Rates : Economic Justifications and Implications for Long-Run Policy. (2008). Pantelidis, Theologos ; Koundouri, Phoebe ; Gollier, Christian ; Christian, Gollier ; Theologos, PANTELIDIS.
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  164. Declining Discount Rates: Economic Justifications and Implications for Long-Run Policy. (2008). Pantelidis, Theologos ; Koundouri, Phoebe ; Gollier, Christian.
    In: IDEI Working Papers.
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  165. Is long memory necessary? An empirical investigation of nonnegative interest rate processes. (2008). Duan, Jin-Chuan ; Jacobs, Kris.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:567-581.

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  166. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodriguez, J C.
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  167. A Preference-Free Formula to Value Commodity Derivatives. (2007). Rodríguez, Juan.
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  168. Pricing of Multi-Defaultable Bonds with a Two-Correlated-Factor Hull-White Model. (2007). Tchuindjo, Leonard .
    In: Applied Mathematical Finance.
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  169. Interest rate options valuation under incomplete information. (2007). Mellios, Constantin.
    In: Annals of Operations Research.
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  170. CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES. (2007). Albanese, Claudio.
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  171. Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options. (2007). Henrard, Marc.
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  172. Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework. (2007). Schneider, Paul ; Schwaiger, Markus S. ; Fruhwirth, Manfred .
    In: Multinational Finance Journal.
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  173. A model of discontinuous interest rate behavior, yield curves, and volatility. (2007). Heston, Steven.
    In: Review of Derivatives Research.
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  174. Duration, factor sensitivities, and interest rate Greeks. (2007). .
    In: Annals of Finance.
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  175. Term-structure estimation in markets with infrequent trading. (2007). Schwartz, Eduardo S. ; Naranjo, Lorenzo F. ; Cortazar, Gonzalo.
    In: International Journal of Finance & Economics.
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  176. Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration. (2007). Pandher, Gurupdesh .
    In: Journal of Economic Theory.
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  177. Valuation of cash flows under random rates of interest: A linear algebraic approach. (2007). Wang, I. C. ; Mamon, R. ; Date, P..
    In: Insurance: Mathematics and Economics.
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  178. An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates. (2007). de Schepper, Ann ; Koch, Inge .
    In: Insurance: Mathematics and Economics.
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  179. Valuation of derivatives based on single-factor interest rate models. (2007). Sorwar, Ghulam ; Allegretto, Walter ; Barone-Adesi, Giovanni .
    In: Global Finance Journal.
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  180. Financial markets in continuous time. (2007). Jeanblanc, Monique ; Dana, Rose-Anne .
    In: Economics Papers from University Paris Dauphine.
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  181. Multi-Lag Term Structure Models with Stochastic Risk Premia.. (2007). Pegoraro, Fulvio ; Monfort, Alain.
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  182. .

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  183. Extending the universality of the Heath–Jarrow–Morton model. (2006). Vora, Gautam ; Grant, Dwight.
    In: Review of Financial Economics.
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  184. Managing food industry business and financial risks with commodity-linked credit instruments. (2006). Turvey, Calum.
    In: Agribusiness.
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  185. Binomial pricing of fixed-income securities for increasing and decreasing interest rate cases. (2006). Gandar, John M. ; Johnson, Stafford R. ; Zuber, Richard A..
    In: Applied Financial Economics.
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  186. Estimating the term structure of interest rates using penalized splines. (2006). Archontakis, Theofanis ; Krivobokova, Tatyana ; Kauermann, Goran.
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  187. Arbitrage opportunities and immunization. (2006). Copper, Mark ; Barber, Joel .
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  188. Notes and Comments: An approximation of caplet implied volatilities in Gaussian models. (2006). Herzel, Stefano ; Angelini, Flavio.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:28:y:2006:i:2:p:113-127.

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  189. A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate. (2006). .
    In: Journal of Emerging Market Finance.
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  190. Les modèles HJM et LMM revisités. (2006). Racicot, François-Éric ; Theoret, Raymond .
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  191. The Derivatives Sourcebook. (2006). Scholes, Myron ; merton, robert ; Lo, Andrew ; Lim, Terence.
    In: Foundations and Trends(R) in Finance.
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  192. A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives. (2006). Trolle, Anders B. ; Schwartz, Eduardo S..
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  193. Model misspecification analysis for bond options and Markovian hedging strategies. (2006). Pistre, Nathalie ; Bossy, Mireille ; Lhabitant, Francois-Serge ; Talay, Denis ; Gibson, Rajna.
    In: Review of Derivatives Research.
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  194. Polynomial Algorithms for Pricing Path-Dependent Interest Rate Instruments. (2006). Hochreiter, Ronald.
    In: Computational Economics.
    RePEc:kap:compec:v:28:y:2006:i:3:p:291-309.

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  195. Generalizations of Ho–Lee’s binomial interest rate model I: from one- to multi-factor. (2006). Akahori, Jiro.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:2:p:151-179.

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  196. An estimate of the inflation risk premium using a three-factor affine term structure model. (2006). Durham, J. Benson.
    In: Finance and Economics Discussion Series.
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  197. Extending the universality of the Heath-Jarrow-Morton model. (2006). Grant, Dwight ; Vora, Gautam .
    In: Review of Financial Economics.
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  198. Generalizations of Ho-Lees binomial interest rate model I: from one- to multi-factor. (2006). Akahori, Jiro ; Aoki, Hiroki ; Nagata, Yoshihiko.
    In: Papers.
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  199. ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS. (2005). Gan, Junwu.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  200. Libor Market Model and Gaussian HJM explicit approaches to option on composition. (2005). Henrard, Marc.
    In: Finance.
    RePEc:wpa:wuwpfi:0511016.

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  201. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models. (2005). Krippner, Leo.
    In: Working Papers in Economics.
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  202. Correlation Matrices of yields and Total Positivity. (2005). Sgarra, Carlo ; Salinelli, Ernesto .
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  203. A cointegration study of the efficiency of the US Treasury STRIPS market. (2005). Carverhill, Andrew P. ; Kung, James J..
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:6:p:695-703.

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  204. Discounting the distant future: How much does model selection affect the certainty equivalent rate?. (2005). Pantelidis, Theologos ; Panopoulou, Ekaterini ; Koundouri, Phoebe ; Groom, Ben.
    In: Economics, Finance and Accounting Department Working Paper Series.
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  205. LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications. (2005). Sodhi, Manmohan S.
    In: Operations Research.
    RePEc:inm:oropre:v:53:y:2005:i:2:p:181-196.

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  206. Pricing and hedging interest rate options: Evidence from cap-floor markets. (2005). Gupta, Anurag ; Subrahmanyam, Marti G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:701-733.

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  207. Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models. (2005). Corielli, Francesco ; Buraschi, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2883-2907.

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  208. Unspanned stochastic volatility and fixed income derivatives pricing. (2005). Casassus, Jaime ; Goldstein, Bob ; Collin-Dufresne, Pierre.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:11:p:2723-2749.

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  209. Extensions of the Ho and Lee interest-rate model to the multinomial case. (2005). Gnudi, Adriana ; Bertocchi, Marida ; Abaffy, Jozsef .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:163:y:2005:i:1:p:154-169.

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  210. A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. (2005). Chiarella, Carl ; Clewlow, Les ; Musti, Silvana .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:161:y:2005:i:2:p:325-336.

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  211. Surrender Rate Impacts on Asset Liability Management. (2005). Kim, Changki.
    In: Asia-Pacific Journal of Risk and Insurance.
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  212. FRS17 and the Sterling Double A Corporate Yield Curve. (2005). Ioannides, Michalis ; Skinner, Frank S.
    In: Journal of Business Finance & Accounting.
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  213. Bond Option Valuation for Non‐Markovian Interest Rate Processes. (2005). Barber, Joel R..
    In: The Financial Review.
    RePEc:bla:finrev:v:40:y:2005:i:4:p:519-532.

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  214. Managing Food Industry Business and Financial Risks with Commodity-Linked Credit Instruments. (2005). Turvey, Calum.
    In: 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark.
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  215. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
    In: Finance.
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  216. Stochastic volatility Gaussian Heath-Jarrow-Morton models. (2004). VALCHEV, STOYAN.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:11:y:2004:i:4:p:347-368.

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  217. Estimating time-varying risk premia in UK long-term government bonds. (2004). Steeley, James.
    In: Applied Financial Economics.
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  218. Valuing callable convertible bonds: a reduced approach. (2004). Moraux, Franck ; ANDRE-LE POGAMP, Florence.
    In: Applied Financial Economics.
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  219. FRS17 and the Sterling Doubles A Corporate Yield Curve. (2004). Skinner, Frank ; Ioannides, Michalis .
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  220. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach. (2004). Kristensen, Dennis ; Jeffrey, Andrew .
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:251-289.

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  221. Pricing Path-Dependent Securities by the Extended Tree Method. (2004). KISHIMOTO, NAOKI .
    In: Management Science.
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  222. ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. (2004). Detemple, Jerome B. ; Broadie, Mark.
    In: Management Science.
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  223. A semiparametric single-factor model of the term structure. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
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  224. A model of the term structure of interest rates based on Lévy fields. (2004). Mahnig, Andrea ; Albeverio, Sergio ; Lytvynov, Eugene .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:114:y:2004:i:2:p:251-263.

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  225. Modeling the term structure of interest rates: A new approach. (2004). Kimmel, Robert L..
    In: Journal of Financial Economics.
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  226. Risk management of non-maturing liabilities. (2004). Willing, Jan ; Kalkbrener, Michael .
    In: Journal of Banking & Finance.
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  227. Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure. (2004). De Rossi, Giuliano .
    In: Journal of Empirical Finance.
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  228. Dynamics of Interest Rate Curve by Functional Auto-regression. (2004). Onatski, Alexei ; Kargin, Vladislav.
    In: Econometric Society 2004 North American Summer Meetings.
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  229. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
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  230. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
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  231. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
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  232. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
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  233. Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model. (2003). Henrard, Marc.
    In: Finance.
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  234. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation. (2003). Krippner, Leo.
    In: Working Papers in Economics.
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  235. The Macroeconomy and the Yield Curve: A Nonstructural Analysis. (2003). Rudebusch, Glenn ; Diebold, Francis ; Aruoba, S. Boragan.
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  236. Time-Consistent No-Arbitrage Models of the Term Structure. (2003). Yaron, Amir ; Brandt, Michael W..
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  237. Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields. (2003). Chiarella, Carl ; Kwon, Oh.
    In: Review of Derivatives Research.
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  238. On the Geometry of Interest Rate Models. (2003). Bjork, Tomas .
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  239. Counterparty credit risk in interest rate swaps during times of market stress. (2003). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
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  240. A comparison of yield curve estimation techniques using UK data. (2003). Ioannides, Michalis .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:1:p:1-26.

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  241. Valuation of guaranteed annuity conversion options. (2003). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:1:p:87-108.

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  242. Analytical implementation of the Ho and Lee model for the short interest rate. (2003). Grant, Dwight ; Vora, Gautam .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:14:y:2003:i:1:p:19-47.

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  243. Fixed-income pricing. (2003). Singleton, Kenneth J. ; Dai, Qiang.
    In: Handbook of the Economics of Finance.
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  244. Intertemporal asset pricing theory. (2003). Duffie, Darrell.
    In: Handbook of the Economics of Finance.
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  245. Two-factor convertible bonds valuation using the method of characteristics/finite elements. (2003). Bermudez, Ana ; Hatgioannides, John ; Barone-Adesi, Giovanni .
    In: Journal of Economic Dynamics and Control.
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  246. A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives. (2003). Subrahmanyam, Marti G. ; Peterson, Sandra ; Stapleton, Richard C..
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:04:p:847-880_00.

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  247. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. (2003). Melenberg, Bertrand ; Driessen, Joost ; Klaassen, Pieter .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:03:p:635-672_00.

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  248. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. (2003). Ma, Chenghu.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2003:v:4:i:2:p:401-426.

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  249. Bond Pricing with Default Risk. (2003). Santa-Clara, Pedro ; Hsu, Jason C. ; Saa-Requejo, Jesus .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
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  250. Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives. (2002). Wu, Liuren ; Heidari, Massoud .
    In: Finance.
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  251. Forecasting the Term Structure of Government Bond Yields. (2002). Diebold, Francis ; Li, Canlin.
    In: Center for Financial Institutions Working Papers.
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  252. The optimal timing of the transfer of hidden reserves in the German and Austrian tax systems. (2002). Fruhwirth, Manfred.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:11:y:2002:i:2:p:71-88.

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  253. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
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  254. Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds. (2002). Lin, Bing-Huei.
    In: Applied Financial Economics.
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  255. ALM model for pension funds : numerical results for a prototype model. (2002). Drijver, Sibrand J ; van der Vlerk, Maarten H ; Klein, Willem K.
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  256. Cross-sectional tests of deterministic volatility functions. (2002). Brandt, Michael W. ; Wu, Tao.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:5:p:525-550.

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  257. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

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  258. Option Prices with Stochastic Interest Rates: Black/Scholes and Ho/Lee unified. (2001). Wilhelm, Jochen.
    In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe.
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  259. On Filtering in Markovian Term Structure Models. (2001). Pasquali, Sara ; Chiarella, Carl ; Runggaldier, Wolfgang J.
    In: World Scientific Book Chapters.
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  260. Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm. (2001). Gan, Junwu.
    In: Finance.
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  261. Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2001). Schlogl, Erik.
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  262. On Filtering in Markovian Term Structure Models (An Approximation Approach). (2001). Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang .
    In: Research Paper Series.
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  263. State Variables and the Affine Nature of Markovian HJM Term Structure Models. (2001). Chiarella, Carl ; Kwon, Oh-Kang.
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  264. The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry. (2001). Kobayashi, Takao ; Marsh, Terry.
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  265. A family of humped volatility models. (2001). Fabio Mercurio, Juan M. Moraleda, .
    In: The European Journal of Finance.
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  266. Calibrating the Black-Derman-Toy model: some theoretical results. (2001). Tan, Ken Seng ; Tian, Weidong ; Boyle, Phelim P..
    In: Applied Mathematical Finance.
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  267. Improving the Quality of the Input in the Term Structure Consistent Models. (2001). Giner, Javier ; Morini, Sandra.
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  268. Review of major results of Martingale theory applied to the valuation of contingent claims. (2001). Valls Pereira, Pedro ; Vieira, Cicero Augusto .
    In: Brazilian Review of Econometrics.
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  269. Modelling Retail Deposit Spreads in the UK. (2001). Gup, Benton E. ; Ioannides, Michael ; Skinner, Frank ; Nam, Doowoo .
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  270. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis. (2001). Pelsser, Antoon ; de Jong, Frank ; Driessen, Joost.
    In: Review of Finance.
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  271. Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate.. (2001). Mellios, Constantin .
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  272. Opciones, cobertura y procesos de difusión con saltos: Una aplicación a los títulos de Gcarso. (2001). Venegas-Martínez, Francisco ; Martinez, Francisco Venegas .
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  273. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Duan, Jin-Chuan ; Jacobs, Kris.
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  274. Affine Term-Structure Models: Theory and Implementation. (2001). Bolder, David.
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  275. Das Gaußsche Zinsstrukturmodell: Eine Analyse auf der Basis von Wahrscheinlichkeitsverteilungen. (2000). Wilhelm, Jochen.
    In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe.
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  276. Convergence of Arbitrage-free Discrete Time Markovian Market Models. (2000). Leitner, Johannes.
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  277. Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems. (2000). Chiarella, Carl ; Bhar, Ram.
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  278. The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option. (2000). El-Hassan, Nadima ; Chiarella, Carl ; Bhar, Ram ; Zheng, Xiaosu.
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  279. The valuation and hedging of variable rate savings accounts. (2000). de Jong, F. C. J. M., ; Wielhouwer, J. L..
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  280. Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices. (2000). Pandher, Gurupdesh.
    In: Review of Derivatives Research.
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  281. American option valuation under stochastic interest rates. (2000). Chung, San-Lin.
    In: Review of Derivatives Research.
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  282. Interest rate option pricing with volatility humps. (2000). Ritchken, Peter ; Chuang, Iyuan.
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    RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262.

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  283. On the construction of finite dimensional realizations for nonlinear forward rate models. (2000). Bjork, Tomas ; Landen, Camilla .
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  284. A Geometric View of Interest Rate Theory. (2000). Bjork, Tomas.
    In: SSE/EFI Working Paper Series in Economics and Finance.
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  285. Pricing Convexity Adjustment with Wiener Chaos. (2000). Benhamou, Eric.
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  286. An Empirical Estimation in Credit Spread Indices. (2000). Scaillet, Olivier ; Prigent, Jean-Luc ; Renault, O..
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  287. Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt. (2000). Stock, Duane ; Lesseig, Vance P..
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:49:y:2000:i:3:p:289-301.

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  288. The intersection of market and credit risk. (2000). Jarrow, Robert ; Turnbull, Stuart M..
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  289. An analytically tractable interest rate model with humped volatility. (2000). Mercurio, F. ; Moraleda, J. M..
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  290. Continuous-Time Methods in Finance: A Review and an Assessment. (2000). Sundaresan, Suresh M..
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  291. The Potential Approach to Bond and Currency Pricing. (1999). Wu, Liuren ; Leippold, Markus.
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  292. Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates. (1999). Ortu, Fulvio ; Anna Rita Bacinello, Fulvio Ortu, .
    In: Applied Mathematical Finance.
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  293. Markov interest rate models. (1999). Patrick S. Hagan, Diana E. Woodward, .
    In: Applied Mathematical Finance.
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  294. Phenomenology of the interest rate curve. (1999). Potters, Marc ; Jean-Philippe Bouchaud, Nicolas Sagna, Rama Cont,, .
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  295. Pricing and quality option in Japanese government bond futures. (1999). Lin, Bing-Huei ; Chen, Ren-Raw ; Chou, Jian-Hsin .
    In: Applied Financial Economics.
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  296. Stock and Bond Pricing in an Affine Economy. (1999). Bekaert, Geert ; Grenadier, Steven R..
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  297. Stochastic duration and fast coupon bond option pricing in multi-factor models. (1999). Munk, Claus.
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  298. A universal lattice. (1999). Yang, Tyler ; Chen, Ren-Raw.
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  299. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
    In: Staff Reports.
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  300. Mean reversion and volatility of short-term London Interbank Offer Rates: An empirical comparison of competing models. (1999). Krehbiel, Tim ; Adkins, Lee.
    In: International Review of Economics & Finance.
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  301. Fitting the term structure of interest rates for Taiwanese government bonds. (1999). Lin, Bing-Huei.
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  302. Three centuries of asset pricing. (1999). Dimson, Elroy ; Mussavian, Massoud.
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  303. Term structure modeling and asymptotic long rate. (1999). Yao, Yong.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:25:y:1999:i:3:p:327-336.

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  304. Valuing Fixed-Income Options and Mortgage-Backed Securities with Alternative Term Structure Models. (1999). Maris, Brian A. ; Yang, Tyler T. ; Chen, Ren-Raw.
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  305. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
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  306. Modeling interest rate dynamics: an infinite-dimensional approach. (1999). Cont, Rama.
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  307. In Honor of the Nobel Laureates Robert C. Merton and Myron S. Scholes: A Partial Differential Equation That Changed the World. (1999). Jarrow, Robert.
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  308. Tax clientele effects in the German bond market. (1998). Stehle, Richard ; Jaschke, Stefan R. ; WERNICKE, S..
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  309. Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models. (1998). Strickland, Chris ; Clewlow, Les .
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  310. Discrete-Time Models of Bond Pricing. (1998). Telmer, Chris ; Backus, David ; Foresi, Silverio .
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  311. Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis. (1998). Klaassen, Pieter .
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  312. Hedging bonds subject to credit risk1. (1998). Skinner, Frank S..
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  313. Some system theoretic aspects of interest rate theory. (1998). Christensen, Bent Jesper ; Gombani, Andrea ; Bjork, Tomas .
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  314. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
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  315. Economic Valuation Models for Insurers. (1997). Babbel, David ; Merrill, Craig.
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  316. Discretized reality and spurious profits in stochastic programming models for asset/liability management. (1997). Klaassen, Pieter .
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  317. Solving stochastic programming models for asset/liability management using iterative disaggregation. (1997). Klaassen, Pieter .
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  318. Transformation of Heath?Jarrow?Morton models to Markovian systems. (1997). Chiarella, Carl.
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  319. A class of arbitrage-free log-normal-short-rate two-factor models. (1997). Rebonato, Riccardo.
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  320. Immunization and Max–Min Optimal Control. (1997). Ghezzi, L L.
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  321. Futures options with futures-style margining in the Gaussian models setting. (1997). Iovino, Maria.
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  322. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
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  323. Interest Rate Dynamics and Consistent Forward Rate Curves. (1997). Christensen, Bent Jesper ; Bjork, Tomas.
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  324. Minimal Realizations of Forward Rates. (1997). Bjork, Tomas ; Gombani, Andrea.
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  325. A generalized one-factor term structure model and pricing of interest rate derivative securities. (1997). Jiang, George J.
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  326. Team Structure Modelling of Defaultable Bonds. (1997). Schönbucher, Philipp.
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  327. Interest rate option pricing with volatility humps. (1997). Chuang, Iyuan ; Ritchken, Peter .
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  328. Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities. (1997). Ronn, Ehud I. ; Bliss, Robert R..
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  329. Term structure modelling of defaultable bonds. (1997). Schonbucher, Philipp.
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  330. A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models. (1997). Thurston, David C. ; Sim, Ah Boon, ; Raj, Mahendra.
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  331. Stochastic volatility, movements in short term interest rates, and bond option values. (1997). Vetzal, Kenneth R..
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  332. The valuation of American options on bonds1. (1997). Subrahmanyam, Marti G. ; Ho, T. S. ; Stapleton, Richard C..
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  333. Discretized reality and spurious profits in stochastic programming models for asset/liability management. (1997). Klaassen, Pieter .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:101:y:1997:i:2:p:374-392.

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  334. Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model. (1997). Naslund, Bertil ; Jennergren, Peter L. ; Ekvall, Niklas.
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  335. Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data. (1996). Chiarella, Carl ; Bhar, Ram.
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  336. The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market. (1996). Vorst, Ton ; Moraleda, Juan M..
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  337. A Family of Humped Volatility Structures. (1996). Mercurio, Fabio ; Moraleda, Juan M..
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  338. A comparison of diffusion models of the term structure. (1996). Strickland, Chris .
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  339. Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on Modelli di struttura a termine dei tassi dinteresse is gratefully acknowledged.. (1996). Ortu, Fulvio ; Bacinello, Anna Rita ; Stucchi, Patrizia .
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  340. The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A..
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  341. Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing. (1996). Zin, Stanley ; Backus, David ; Foresi, Silverio .
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  342. Two factors along the yield curve. (1996). Remolona, Eli ; Gong, Frank F..
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  343. On measuring credit risks of derivative instruments. (1996). Duffee, Greg.
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  344. On the valuation of an option to exchange one interest rate for another. (1996). Fu, Qiang.
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  345. A comparative evaluation of alternative models of the term structure of interest rates. (1996). Torricelli, Costanza ; Boero, Gianna.
    In: European Journal of Operational Research.
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  346. Arbitrage Based Pricing When Volatility Is Stochastic. (1996). gourieroux, christian ; Ghysels, Eric ; Bossaerts, Peter.
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  347. BIVARIATE BINOMIAL OPTIONS PRICING WITH GENERALIZED INTEREST RATE PROCESSES. (1996). Schwartz, Adam L ; Hilliard, Jimmy E ; Tucker, Alan L.
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  348. Transformation of Heath-Jarrow-Morton Models to Markovian Systems. (1995). Chiarella, Carl ; Bhar, Ram.
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  349. Testing Continuous-Time Models of the Spot Interest Rate. (1995). Ait-Sahalia, Yacine.
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  350. Bond markets where prices are driven by a general marked point process. (1995). Кабанов, Юрий ; Bjork, T. ; Kabanov, Y. ; Runggaldier, W..
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  351. Empirical tests of two state-variable HJM models. (1995). Ritchken, Peter ; Bliss, Robert R..
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  352. Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach. (1995). Berardi, Andrea.
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  353. Some international evidence on the stochastic behavior of interest rates. (1995). Tse, Y. K..
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  354. The duration vector: A continuous-time extension to default-free interest rate contingent claims. (1995). Nawalkha, Sanjay.
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  355. A note on an equilibrium debt option pricing model in discrete time. (1995). Mathis, Roswell III.
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  356. Face value convergence for stochastic bond price processes: a note on Mertons partial equilibrium option pricing model. (1995). Nawalkha, Sanjay.
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  357. Equity-linked life insurance: A model with stochastic interest rates. (1995). Sandmann, Klaus ; Nielsen, Aase J..
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  358. A note on currency option pricing. (1995). Nawalkha, Sanjay ; Chambers, Donald R..
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  359. Linear Factor Models and the Term Structure of Interest Rates. (1995). Monfort, Alain ; gourieroux, christian ; Clement, Emmanuelle .
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