Publisher Summary The term structure of interest rates at any time is the function relating
interest rate to term. The study of the term structure inquires what market forces are …

I survey and assess the development of continuous‐time methods in finance during the last
30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

We estimate and compare a variety of continuous‐time models of the short‐term riskless rate
using the Generalized Method of Moments. We find that the most successful models in …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This paper characterizes all continuous price processes that are consistent with current
option prices. This extends Derman and Kani (1994), Dupire (1994, 1997), and Rubinstein …

Different continuous-time models for interest rates coexist in the literature. We test
parametric models by comparing their implied parametric density to the same density …

We develop a two‐factor general equilibrium model of the term structure. The factors are the
short‐term interest rate and the volatility of the short‐term interest rate. We derive closed …

We demonstrate that when the future path of the discount rate is uncertain and highly
correlated, the distant future should be discounted at significantly lower rates than …

In this article, we develop relative pricing (APT) models that are successful in explaining
expected returns in the bond market. We utilize indexes as well as unanticipated changes in …