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A yield-factor model of interest rates. Duffie D,Kan R. Mathematical Finance . 1996
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A two-factor model of the term structure-An approximate analytical solution. Schaefer M S,Schwartz E S. The Journal of Finance . 1984
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Forward induction and construction of yield curve diffusion models. Jamshidian F. . 1991
[4]
Bond and option pricing when short rates are log-normal. Black F,Karasinski P. Financial Analysts Journal . 1991
[5]
A theory of the term structure of interest rates. Cox J C,Ingersoll J E,Ross S A. Econometrica . 1985
[6]
An empirical comparison of alternative models of the short -term interest rate. Chan K C,Karolyi G A,Longstaff F A,et al. The Journal of Finance . 1992
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A term structure model and the pricing of interest -rate derivatives. Sandmann K,Sondermann D. The Review of Futures Markets . 1993
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Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Heath D,Jarrow R,Morton A. Econometrica . 1992
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Common factors affecting bond returns. Litterman R,Scheinkman J. . 1991
[10]
A one-factor model of interest rates and its application to treasury bond options. Black F,Derman E,Toy W. Financial Analysts Journal . 1990