Bibliography of Term Structure and Interest Rate Derivatives Literature
Compiled by Don Chance

This compilation of the literature on modeling the term structure and pricing interest rate derivatives is designed to reflect the modern approach, which has as its basis the no-arbitrage or risk-neutral principle. It does not attempt to include the voluminous literature on the term structure that goes back more than half a century. In some respects its origin is in the celebrated Black-Scholes option-pricing model, though we do not include that paper in this list, for the methodology that it provided. Considerable judgment has been used and possibly some worthy papers have been omitted. The search was made in the primary academic journals as well as some largely practitioner journals and Risk magazine. A large body of literature on mortgage securities is not included here with a few exceptions. The emphasis is on modeling and pricing and not on empirical testing, though a small number of key empirical papers are included. Only published works are included.

 


(A)

Abken, Peter A. "Innovations in Modeling the Term Structure of Interest Rates." Economic Review, Federal Reserve Bank of Atlanta 75 (July-August 1990), 2-27.

Abken, Peter A. "Interest Rate Caps, Collars and Floors." Economic Review, Federal Reserve Bank of Atlanta 74 (November-December, 1989), 2-25.

Abken, Peter A. "Valuation of Default-Risky Interest-Rate Swaps." Advances in Futures and Options Research 6 (1993), 93-116.

Adams, Kenneth J. and Donald R. Van Deventer. "Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness." The Journal of Fixed Income 4 (June, 1994), 52-62.

Ağca, Şenay.  "The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies Under a Heath-Jarrow-Morton Framework."  Journal of Financial and Quantitative Analysis 40 (September, 2005), 645-669.

Ağca, Şenay and Don M. Chance.  "Two Extensions for Fitting Discrete Time Term Structure Models with Normally Distributed Factors."  Applied Mathematical Finance 18 (September, 2004), 187-205.

Ahn, Chang Mo and Howard E. Thompson. "Jump-Diffusion Processes and the Term Structure of Interest Rates." The Journal of Finance 43 (March, 1988), 155-174.

Ah, Dong-Hyun.  "Common Factors and Local Factors:  Implications for Term Structures and Exchange Rates."  Journal of Financial and Quantitative Analysis 39 (March, 2004), 69-102.

Ahn, Dong-Hun and Bin Gao. "A Parametric Nonlinear Model of Term Structure Dynamics." The Review of Financial Studies 12 (Special, 1999), 721-762.

Ahn, Dong-Hyun, Robert F. Dittmar, and A. Ronald Gallant. "Quadratic Term Structure Models: Theory and Evidence." The Review of Financial Studies 15 (Spring, 2002), 243-288.

Aït-Sahlia, Yacine. "Testing Continuous-Time Models of the Spot Rate." The Review of Financial Studies. 9 (Summer, 1996), 385-426.

Aït-Sahlia, Yacine. "Transition Densities for Interest Rate and Other Nonlinear Diffusions." The Journal of Finance. 54 (August, 1999), 1361-1395.

Aldabe, Fermin.  Pricing Fixed Income Derivatives in the Market Model.  New York:  Elsevier (2005).

Amin, Kaushik and Andrew Morton. "Implied Volatility Functions in Arbitrage Free Term Structure Models." Journal of Financial Economics 35 (1994), 141-180.

Alvarez, Luis H. R.  "Zero Coupon Bonds and Affine Term Structures:  Reconsidering the One-Factor Model."  Insurance Mathematics and Economics 23 (October, 1998), 85-90.

Andersen, Leif.  "A Simple Approach to the Pricing of Bermudan Swaptions in the Multifactor LIBOR Market Model." The Journal of Computational Finance 3 (Winter, 1999-2000), 5-32.

Andersen, Leif and Jesper Andreasen. "Volatitile Volatilities." Risk 15 (December, 2002), 163-168.

Andersen, L. and J. Andreasen. "Volatility Skews and Extensions of the LIBOR Market Model." Applied Mathematical Finance 7 (2000), 1-32.

Anderson, Leif and Rupert Brotherton-Ratcliffe.  "Extended LIBOR Market Models with Stochastic Volatility."  The Journal of Computational Finance 9 (Fall, 2005), 1-40.

Andreasen, Jesper.  "Back to the Future."  Risk 18 (September, 2005), 104-109.

Angelini, Flavio and Stefano Herzel. "Consistent Initial Curves for Interest Rate Models." The Journal of Derivatives 9 (Summer, 2002), 8-17.

Apabhai, Mohammed, Keesup Choe, Fouad Khennach and Paul Wilmott. "Spot-On Modeling." Risk 8 (November, 1995), 59-63.

Aquilina, John and L. C. G. Rogers.  "The Squared Ornstein-Uhlenbeck Market."  Mathematical Finance 14 (2004), 487-513.

Arditti, Fred D. Derivatives: A Comprehensive Resource for Options, Futures, Interest Rate Swaps and Mortgage Securities. Boston: Harvard Business School Press (1996), Chs. 7, 10-12, 14-20.

Artzner, Philippe and Freddy Delbaen. "Term Structure of Interest Rates: The Martingale Approach." Advances in Applied Mathematics 10 (1989), 95-129.

Attari, Mukarram. "Discontinuous Interest Rate Processes: An Equilibrium Model for Bond Option Prices." Journal of Financial and Quantitative Analysis 34 (September, 1989), 293-322.

Au, Kelly T. and David C. Thurston.  "A New Class of Duration Measures."  Economics Letters 47 (1995), 371-375.


(B)

Babbel, David F. "Interest Rate Dynamics and the Term Structure: A Note." Journal of Banking and Finance 12 (September, 1988), 401-417.

Babbs, Simon H. and K. Ben Nowman. "Kalman Filtering of Generalized Vasicek Term Structure Models." Journal of Financial and Quantitative Anaysis 34 (March, 1999), 115-130.

Babbs, Simon and Nick Webber. "Term Structure Modelling Under Alternative Official Regimes." Mathematics of Derivative Securities, Michael A. H. Dempster and Stanley R. Pliska. Cambridge: Cambridge University Press (1997), pp. 394-422.

Backus, David, Silverio Foresi and Chris I. Telmer.  "Affine Term Structure Models and the Forward Premium Anomaly." The Journal of Finance 56 (February, 2001), 279-304.

Backus, David, Silverio Foresi and Chris Telmer. "Discrete-Time Models of Bond Pricing," Chapter 4 in Advanced Fixed Income Valuation Tools, ed. Narasimhan Jegadeesh and Bruce Tuckman. New York: Wiley (2000).

Backus, David, Silverio Foresi and Stanley Zin. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing." Journal of Business and Economic Statistics 16 (1998), 13-26.

Bali, Turan G.  "Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate." Journal of Financial and Quantitative Analysis 35 (2000), 191-215.

Balduzzi, Pierluigi, Sanjiv Rajan Das, Silverio Foresi and Rangarajan Sundaram. "A Simple Approach to Three-Factor Term Structure Models." The Journal of Fixed Income 6 (December, 1996), 43-53.

Balduzzi, Pierluigi, and I-Hsuan Ethan Chiang.  "A Simple Test of the Affine Class of Term Structure Models." The Review of Asset Pricing Studies 2 (December, 2012), 203-244.

Balduzzi, Pierluigi, Sanjiv Ranjan Das, Silverio Foresi and Rangarajan Sundaram. "Stochastic Mean Models of the Term Structure of Interest Rates," Chapter 5in Advanced Fixed Income Valuation Tools, ed. Narasimhan Jegadeesh and Bruce Tuckman. New York: Wiley (2000).

Bali, Turan G. "Modeling the Stochastic Behavior of Short-Term Interest Rates: Pricing Implications for Discount Bonds." Journal of Banking and Finance 27 (February, 2003), 201-228.

Bali, Turan G. and Ahmet K. Karagozoglu. "Implementation of the Black-Derman-Toy Model with Different Volatility Estimators: Application to Eurodollar Futures Options." The Journal of Fixed Income 8 (March, 1999), 24-34.

Ball, Clifford A. and Walter N. Torous. "Bond Price Dynamics and Options." Journal of Financial and Quantitative Analysis 18 (December, 1983), 517-531.

Barber, Joel R.  "Bond Option Valuation for Non-Markovian Interest Rate Processes."  The Financial Review 40 (November, 2005), 519-532.

Barone, Emilio, Domenico Cuoco, and Emerico Zautzik. "Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds." The Journal of Fixed Income 1 (December, 1991), 87-95.

Barone-Adesi, Giovanni, Elias Dinenis and Ghulam Sorwar. "A Note on the Convergence of Binomial Approximations for Interest Rate Models." The Journal of Financial Engineering 6 (March, 1997), 71-77.

Baxter, Martin W. "General Interest-Rate Models and the Universality of HJM." Mathematics of Derivative Securities, Michael A. H. Dempster and Stanley R. Pliska. Cambridge: Cambridge University Press (1997), pp. 315-335.

Baz, Jamil and Sanjiv Ranjan Das. "Analytical Approximations of the Term Structure for Jump-Diffusion Processes: A Numerical Analysis." The Journal of Fixed Income 6 (June, 1996), 78-86.

Beaglehole, David and Mark Tenney. "Corrections and Additions to 'A Nonlinear Equilibrium Model of the Term Structure of Interest Rates.'" Journal of Financial Economics 32 (December, 1992), 345-353.

Beaglehole, David R. and Mark S. Tenney. "General Solutions of Some Interest-Rate Contingent Claims Pricing Equations." The Journal of Fixed Income 1 (September, 1991), 69-83.

Beliaeva, Natalia A., Sanjay K. Nawalkha, and Gloria M. Soto.  "Pricing American Interest Rate Options Under the Jump-Extended Vasicek Model."  The Journal of Derivatives 16 (Fall, 2008), 29-43.

Benner, Wolfgang, Lyudmil Zyapkov, and Stephan Jortzik.  "A Multi-Factor Cross-Currency LIBOR Market Model."  The Journal of Derivatives 16 (Summer, 2009), 53-71.

Bennett, Michael and Joanne Kennedy.  "Common Interests." Risk 18 (March, 2005), 73-77.

Bennett, Michael and Joanne Kennedy.  "A Comparison of Markov-Functional and Market Models:  The One-Dimensional Case."  The Journal of Derivatives 13 (Winter, 2005), 22-43.

Beveridge, Christopher and Mark Joshi.  "Juggling Snowballs."  Risk 21 (December, 2008), 100-104.

Bhagwat, Yatin N., Michael C. Ehrhardt and David W. Johnson. "The Two-State Interest Rate Model for Pricing Bonds: An Empirical Analysis." The Journal of Financial Research 14 (Summer, 1991), 105-115.

Bhar, R. "Interest Rate Futures Options - Empirical Test of the Ho and Lee Model in the Australian Context." The Review of Futures Markets 12 (1993), 661-683.

Bhar, Ramaprasad and Carl Chiarella.  "Interest Rate Futures:  Estimation of Volatility Parameters in an Arbitrage-Free Framework."  Applied Mathematical Finance 4 (1997), 181-199.

Bhar, Ramaprasad and Carl Chiarella.  "Transformation of Heath-Jarrow-Morton Models to Markovian Systems."  The European Journal of Finance 3 (1995), 1-26.

Bhar, Ramaprasad, Carl Chiarella, Nadima El-Hassan and Xiaosu Zheng.  "The Reducation of Forward Rate Dependent Volatility HJM Models to Markovian Form:  Pricing European Bond Options."  The Journal of Computational Finance 3 (Spring, 2000), 47-72.

Bierwag, Gerald O. "The Ho-Lee Binomial Stochastic Process and Duration." The Journal of Fixed Income 6 (March, 1997), 76-87.

Bjerksund, Petter and Gunnar Stensland. "Implementation of the Black-Derman-Toy Interest Rate Model." The Journal of Fixed Income 6 (September, 1996), 67-75.

Björk, Tomas, Yuri Kabanov, and Wolfgang Runggalder. "Bond Market Structure in the Presence of Marked Point Processes." Mathematical Finance 7 (April, 1997), 211-239.

Black, Fischer, Emanuel Derman and William Toy. "A One-Factor Model of Interest Rates and its Application to Treasury Bond Options." Financial Analysts Journal 46 (January-February, 1990), 33-39.

Black, Fischer and Piotr Karasinski. "Bond and Option Pricing when Short Rates are Lognormal." Financial Analysts Journal 47 (July-August, 1991), 52-59.

Bliss, Robert R. "Testing Term Structure Estimation Methods." Advances in Futures and Options Research 9 (1996), 197-231.

Bliss, Robert and Peter Ritchken.  "Emiprical Tests of Two State-Variable Heath, Jarrow and Morton Models."  Journal of Money, Credit and Banking 28 (1996), 452-476.

Bliss, Robert R., Jr. and Ehud I. Ronn. "Arbitrage-Based Estimates of Nonstationary Shifts in the Term Structure of Interest Rates." The Journal of Finance 44 (July, 1989), 591-610.

Bliss, Robert and David Smith. "The Elasticity of Interest Rate Volatility." Journal of Risk 1 (Fall, 1998), 21-46.

Blyth, Stephen and John Uglum. "Rates of Skew." Risk 12 (July, 1999), 61-63.

Bookstaber, Richard, David P. Jacob, and Joseph A. Langsam. "The Arbitrage-Free Pricing of Options on Interest-Sensitive Instruments." Advances in Futures and Options Research 1A (1986), 1-23.

Bookstaber, Richard M. and James B. McDonald. "A Generalized Option Valuation Model for the Pricing of Bond Options." Review of Research in Futures Markets 4 (1985), 60-73.

Bossy, Mireille, Rajna Gibson, Francois-Serge Lhabitant, Nathalie Pistre, and Denis Talay.  "Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies."  Review of Derivatives Research 9 (2006), 109-135.

Bouchard, Jean-Phillippe, Nicolas Sagna, Rama Cont, Nicole el-Karoui and Marc Potters. "Strings Attached." Risk 11 (July, 1998), 56-59.

Brace, Alan, Deruisz Gatarek and Marek Musiela. "The Market Model of Interest Rate Dynamics." Mathematical Finance 7 (April, 1997), 127-155.

Brace, Alan and Marek Musiela. "A Multifactor Gauss Markov Implementation of Heath, Jarrow, Morton." Mathematical Finance 4 (July, 1994), 259-283.

Brace, Alan and Marek Musiela. "Swap Derivatives in a Gaussian HJM Framework." Mathematics of Derivative Securities, Michael A. H. Dempster and Stanley R. Pliska. Cambridge: Cambridge University Press (1997), pp. 336-368.

Brenner, Robin J., Richard H. Harjes, and Kenneth F. Kroner. "Another Look at Models of the Short-Term Interest Rate." Journal of Financial and Quantitative Analysis 31 (March, 1996), 85-107.

Breeden, Douglas T. And James H. Gilkeson. "A Path-Dependent Approach to Security Valuation with Application to Interest Rate Contingent Claims." Journal of Banking and Finance 21 (April, 1997), 541-562.

Brennan, Michael J. and Eduardo Schwartz. "A Continuous Time Approach to the Pricing of Bonds." Journal of Banking and Finance 3 (July, 1979), 133-155.

Brennan, Michael J. and Eduardo Schwartz. "An Equilibrium Model of Bond Prices and a Test of Market Efficiency." Journal of Financial and Quantitative Analysis 17 (1982), 301-329.

Brenner, Robin J. and Robert A. Jarrow. "A Simple Formula for Options on Discount Bonds." Advances in Futures and Options Research 6 (1993), 45-51.

Brigo, Damiano and Fabio Mercurio. "Calibrating LIBOR." Risk 15 (January, 2002), 117-121.

Brigo, Damiano and Fabio Mercurio.  Interest Rate Models:  Theory and Practice, 2nd ed.  Berlin:  Springer (2006).

Brigo, Damiano and Massimo Morini.  "Efficient Analytical Cascade Calibration of the LIBOR Market Model with Endogenous Interpolation."  The Journal of Derivatives 14 (Fall, 2006), 40-60.

Briys, Eric, Michel Crouhy, and Rainer Schöbel. "The Pricing of Default-Free Interest Rate Cap, Floor, and Collar Agreements." The Journal of Finance 46 (December, 1991), 1879-1892.

Brooks, Robert. Interest Rate Modeling and the Risk Premiums in Interest Rate Swaps. Charlottesville, Virginia: The Research Foundation of the Institute of Chartered Financial Analysts (1997).

Brooks, Robert. "A Lattice Approach to Interest Rate Spread Options." The Journal of Financial Engineering 4 (September, 1995), 281-296.

Brooks, Robert.  "Information in the U. S. Treasury Term Structure."  The Financial Review 47 (May, 2012), 247-272.

Brown, Roger H. and Stephen M. Schaefer. "The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model." Journal of Financial Economics 35 (February, 1994), 3-42.

Brown, Stephen and Phillip Dybvig. "The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates." The Journal of Finance 41 (July, 1986), 617-630.

Broze, Laurence, Olivier Scaillet and Jean-Michel Zako&iumlan. "Testing for Continuous Time Models of the Short-Term Interest Rate." The Journal of Empirical Finance 2 (September, 1995), 199-223.

Buetow, G. W. and F. J. Fabozzi.  Valuation of Interest Rate Swaps and Swaptions.  New Hope, Pennsylvania:  Frank J. Fabozzi Associates (2001).

Bühler, Wolfgang, Marliese Uhrig-Homburg, Ulrich Walter, and Thomas Weber. "An Empirical Comparison of Forward-Rate and Spot-Rate Models for Valuing Interest-Rate Options." The Journal of Finance 54 (February, 1999), 269-305.

Buttimer, Richard J., Jr., Walter J. Muller, III and Robert D. Reeves. "An Alternative Trinomial Formulation for One-Factor Term Structure Models." The Journal of Financial Engineering 4 (March, 1995), 1-10.


(C)

Cairns, Andrew J. G.  "A Family of Term-structure Models for Long-term Risk Management and Derivative Pricing."  Mathematical Finance 14 (2004), 415-444.

Cairns, Andrew.  Interest Rate Models:  An Introduction.  Princeton:  Princeton University Press (2004).

Campbell, John Y. "A Defense of Traditional Hypotheses About the Term Structure of Interest Rates." The Journal of Finance 41 (March, 1986), 617-630.

Cannabarro, Eduardo. "Comparing the Dynamic Accuracy of Yield-Curve-Based Interest Rate Contingent Claim Pricing Models." The Journal of Financial Engineering 2 (December, 1993), 365-401.

Cannabero, Eduardo. "Where Do One-Factor Interest Rate Models Fail?" The Journal of Fixed Income 5 (September, 1995), 31-52.

Carmona, René A. and Michael R. Tehranchi.  Interest Rate Models:  An Infinite Dimensional Stochastic Analysis Perspective.  Berlin:  Springer (2006).

Carr, Peter and Robert Jarrow. "A Discrete Time Synthesis of Derivative Security Valuation Using a Term Structure of Futures Prices." Finance: Handbook in Operations Research and Management. W. Ziemba, R. Jarrow and V. Maksimovic, edc. Amsterdam: North-Holland (1995).

Carverhill, Andrew. "A Note on the Models of Hull and White for Pricing Options on the Term Structure." The Journal of Fixed Income 5 (September, 1995), 89-96.

Carverhill, Andrew. "A Simplified Exposition of the Heath, Jarrow and Morton Model." Stochastics Reports 53 (1995), 227-240.

Carverhill, Andrew. "When is the Short Rate Markovian?" Mathematical Finance 4 (October, 1994), 305-312.

Carverhill, Andrew and Kin Pang. "Efficient and Flexible Bond Option Valuation in the Heath, Jarrow, and Morton Framework." The Journal of Fixed Income 5 (September, 1995), 70-77.

Cathcart, Lara. "The Pricing of Floating Rate Instruments." The Journal of Computational Finance 1 (Summer, 1998), 31-51.

Chacko, George and Sanjiv Das. "Pricing Interest Rate Derivatives: A General Approach." The Review of Financial Studies 15 (Spring, 2002), 195-241.

Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sanders. "An Emprical Comparison of Alternative Models of the Term Structure of Interest Rates." The Journal of Finance 47 (July, 1992), 1209-1228.

Chapman, David A. and Neil D. Pearson.  "Is the Short Rate Drift Actually Nonlinear?"  The Journal of Finance 55 (February, 2000), 355-388.

Chapman, David A. and Neil D. Pearson. "Recent Advances in Estimating Term-Structure Models." Financial Analysts Journal 57 (July/August, 2001), 77-95.

Chapman, David A., John B. Long, Jr. and Neil D. Pearson. "Using Proxies for the Short Rate: When Are There Months Like an Instant?" The Review of Financial Studies 12 (Special, 1999), 763-806.

Chen, L. Stochastic Mean and Stochastic Volatility - A Three-Factor Model of the Term Structure of Interest Rates and Its Application to the Pricing of Interest Rate Derivatives. Oxford, U.K.: Blackwell Publishers (1996).

Chen, Li, Damir Filipovic, and H. Vincent Poor.  "Quadratic Term Structure Models for Risk-Free and Defaultable Rates."  Mathematical Finance 14 (2004), 515-536.

Chen, Ren-Raw. "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds." Journal of Financial and Quantitative Analysis 27 (March, 1992), 97-107.

Chen, Ren-Raw. "A New Look at Interest Rate Futures Contracts." The Journal of Futures Markets 12 (October, 1992), 539-548.

Chen, Ren-Raw. "A Two-Factor Preference-Free Model for Interest Rate Sensitive Claims." The Journal of Futures Markets 15 (May, 1995), 345-372.

Chen, Ren-Raw and Louis Scott. "Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of the Term Structure." The Journal of Derivatives 3 (Winter, 1995), 53-72.

Chen, Ren-Raw and Louis Scott. "Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates." The Journal of Fixed Income 3 (December, 1993), 14-31.

Chen, Ren-Raw and Louis Scott. "Interest Rate Options in Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure." The Journal of Derivatives 3 (Winter, 1995), 53-72.

Chen, Ren-Raw and Louis O. Scott. "Pricing Interest Rate Options in a Two Factor Cox-Ingersoll-Ross Model of the Term Structure." The Review of Financial Studies 5 (1992), 613-636.

Chen, Ren-Raw and Louis Scott. "Pricing Interest Rate Futures Options with Futures-Style Margining." The Journal of Futures Markets 13 (February, 1993), 15-22.

Cheng, Susan T. "On the Feasibility of Arbitrage-Based Option Pricing When Stochastic Bond Prices Processes are Involved." Journal of Economic Theory 53 (February, 1991), 185-198.

Cherian, Joseph A., Eric Jacquier, and Robert A. Jarrow.  "A Model of the Convenience Yields of On-the-Run Treasuries."  Review of Derivatives Research 7 (2004), 79-97.

Cherubini, U. and M. Esposito. "Options in and on Interest Rate Futures Contracts: Results from Martingale Theory." Applied Mathematical Finance 2 (1995), 1-15.

Chesney, Marc, Robert J. Elliott, and Rajna Gibson. "Analytical Solutions for the Pricing of American Bond and Yield Options." Mathematical Finance 3 (1997), 277-294.

Chiarella, Carl and Nadima El-Hassen. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques." The Journal of Financial Engineering 2 (June, 1997), 121-147.

Chiarella, Carl and Nadima El-Hassen.  "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates."  Financial Engineering and Japanese Markets 3 (1996), 217-238.

Chairella, Carl and Oh Kang Kwon.  "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields."  Review of Derivatives Research 6 (2003), 129-155.

Christiansen, Charlotte.  "Multivariate Term Structure Models with Level and Heteroskedasticity Effects."  Journal of Banking and Finance 29 (2005), 1037-1057.

Christiansen, Charlotte and Charlotte Strunk Hansen. "Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model." Review of Derivative Research 5 (2002), 51-80.

Choy, Bruce, Tim Dun, and Erik Schlögl.  "Correlating Market Models." AsiaRisk (October, 2004), 53-59.

Clewlow, Les and Chris Strickland. "Monte Carlo Valuation of Interest Rate Derivatives Under Stochastic Volatility." The Journal of Fixed Income 7 (December, 1997), 35-45.

Clewlow, Les and Chris Strickland. "A Note on Parameter Estimation in the Two-Factor Longstaff and Schwartz Interest Rate Model." The Journal of Fixed Income 3 (December, 1993), 95-100.

Collin-Dufresne, Pierre and Robert S. Goldstein. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility." The Journal of Finance 57 (September, 2002), 1685-1730.

Collin-Dufresne, Pierre and Robert S. Goldstein. "Pricing Swaptions Within an Affine Framework." The Journal of Derivatives 10 (Fall, 2002), 9-26.

Collin-Dufresne, Pierre, Robert S. Goldstein, and Christopher S. Jones.  "Identification of Maximal Affine Term Structure Models." The Journal of Finance 63 (April, 2008), 743-795.

Cooley, Thomas F., Stephen F. LeRoy and William R. Parke. "Pricing Interest-Sensitive Claims When Interest Rates Have Stationary Components." The Journal of Fixed Income 1 (March, 1992), 64-73.

Constantinides, George. "A Theory of the Nominal Term Structure of Interest Rates." The Review of Financial Studies 5 (1992), 531-552.

Cotton, Peter, Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar.  "Stochastic Volatility Corrections for Interest Rate Derivatives."  Mathematical Finance 14 (2004), 173-200.

Courtadon, Georges. "The Pricing of Options on Default-Free Bonds." Journal of Financial and Quantitative Analysis 17 (March, 1982), 75-100.

Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. "A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates." The Journal of Finance 36 (September, 1981), 769-799.

Cox, John C., Jonathan E. Ingersoll, Jr. and Stephen A. Ross. "A Theory of the Term Structure of Interest Rates." Econometrica 53 (March, 1985), 385-407.

Crack, Timothy and Sanjay K. Nawalkha.  "Interest Rate Sensitivities of Bond Risk Measures."  Financial Analysts Journal 56 (January-February, 2000), 34-43.


(D)

Dai, Qiang and Kenneth J. Singleton. "Specification Analysis of Affine Term Structure Models." The Journal of Finance 55 (2000), 385-407.

Dai, Qiang and Kenneth J. Singleton.  "Term Structure Dynamics in Theory and Reality." The Review of Financial Studies 16 (2003), 631-678.

Daglish, Toby.  "Lattice Methods for No-Arbitrage Pricing of Interest Rate Securities.  The Journal of Derivatives  18 (Winter, 2010), 7-19.

Daniluk, Andrzej and Dariusz Gatarek.  "A Fully Lognormal LIBOR Market Model."  Risk 18 (September, 2005), 115-118.

Das, Sanjiv Ranjan. "Discrete-Time Bond and Option Pricing for Jump-Diffusion Processes." Review of Derivatives Research 3 91997), 211-243.

Das, Sanjiv Ranjan. "Interest Rate Modeling with Jump-Diffusion Processes," Chapter 6 in Advanced Fixed Income Valuation Tools, ed. Narasimhan Jegadeesh and Bruce Tuckman. New York: Wiley (2000).

Das, Sanjiv and Silverio Foresi. "Exact Solutions for Bond and Options Prices with Systematic Jump Risk." Review of Derivatives Research 1 (1996), 7-24.

Das, Sanjiv Ranjan and Peter Tufano. "Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings and Credit Spreads are Stochastic." The Journal of Financial Engineering 5 (June, 1996), 161-198.

d'Aspremont, Alexandre.  "Risk-Management Methods for the LIBOR Market Model Using Semi Definite Programming."  The Journal of Computational Finance 8 (Summer, 2005), 77-99.

Daves, Phillip and Michael Erhardt. "Joint Cross-Section/Time Series Maximum Likelihood Estimation for the Parameters of the Cox, Ingersoll, Ross Bond Pricing Model." The Financial Review 28 (February, 1993), 203-237.

De Jong, Frank, Joost Driessen, and Antoon Pelsser.  "On the Information in the Interest Rate Term Structure and Option Prices."  Review of Derivatives Research 7 (2004), 99-125.

Delbaen, Freddy. "Consols in the CIR Model." Mathematical Finance 3 (April, 1993), 125-134.

DeMunnik, Jeroen F. J. "The Construction of a Path-Independent Interest Rate Tree: The Model of Heath-Jarrow-Morton." Advances in Futures and Options Research 7 (1994), 135-145.

DeMunnik, Jeroen F. J. "Note on the Interest Rate Contingent Claim Valuation and the Use of Principal Components." The Review of Futures Markets 13 (1994), 695-702.

DeMunnik, Jeroen F. J. and Peter C. Shotman.  "Cross Sectional Versus Time Series Estimation of Term Structure Models: Evidence for the Dutch Bond Market."  Journal of Banking and Finance 18 (1994), 997-1025.

Dietrich-Campbell, Bruce and Eduardo Schwartz. "Valuing Debt Options." Journal of Financial Economics 16 (July, 1986), 321-343.

Dharan, Venkat G. "Pricing Path-Dependent Interest Rate Contingent Claims Using a Lattice." The Journal of Fixed Income 6 (March, 1997), 40-49.

Dothan, L. Uri. "On the Term Structure of Interest Rates." Journal of Financial Economics 6 (March, 1978), 59-69.

Doust, Paul. "Relative Pricing Techniques in the Swaps and Options Markets." The Journal of Financial Engineering 4 (March, 1995), 11-46.

Duarte, Jefferson.  "Evaluating Alternative Risk Preferences in Affine Term Structure Models."  The Review of Financial Studies 17 (Summer, 2004), 379-404.

Duffie, Darrell. Dynamic Asset Pricing Theory, 2d. ed. Princeton: Princeton University Press (1996), Ch. 7

Duffie, Darrell and Rui Kan. "Multi-Factor Term Structure Models." Philosophical Transactions of the Royal Society of London Actuaries 347 (1994), 577-586.

Duffie, Darrell and Rui Kan. "A Yield-Factor Model of Interest Rates." Mathematical Finance 64 (October, 1996), 379-406.

Duffie, Darrell and Kenneth J. Singleton. "An Econometric Model of the Term Structure of Interest -Rate Swap Yields." The Journal of Finance 52 (September, 1997), 1287-1321.

Duffie, Darrell and Kenneth J. Singleton. "Modeling Term Structures of Defaultable Bonds." The Review of Financial Studies 12 (Special, 1999), 687-719.

Dybvig, Philip H. "Bond and Bond Option Pricing Based on the Current Term Structure." Mathematics of Derivative Securities, Michael A. H. Dempster and Stanley R. Pliska, eds. Cambridge: Cambridge University Press (1997), pp. 271-293.

Dybvig, Philip H., Jonathan E. Ingersoll, Jr., and Stephen A. Ross. "Long Forward and Zero-Coupon Rates Can Never Fall." The Journal of Business 69 (January, 1996), 1-25.


(E)

Easton, Malcolm C. "Binary Tree Interest Rate Models with Risk Premiums." The Journal of Fixed Income 8 (September, 1998), 53-59.

Eberlein, Ernst and Wolfgang Kluge.  "Exact Pricing Formulae for Caps and Swaptions in a Lévy Term Structure Model." The Journal of Computational Finance 9 (Winter 2005/2006), 99-125.

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(O)

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(P)

Pang, Kin. "Calibration of Gaussian Heath, Jarrow and Morton and Random Field Interest Rate Term Structure Models." Review of Derivatives Research 2 (1998), 315-345.

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Pérignon, Christophe and Christophe Villa.  "Component Proponents II."  Risk 17 (July, 2004), 77-79.

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Pietersz, Raoul and Patrick Groenen.  "A Major LIBOR Fit."  Risk 17 (December, 2004), p. 102.

Pietersz, Raoul and Antoon Pelsser.  "Swap Vega in BGM:  Pitfalls and Alternatives." Risk 17 (March, 2004), 91-93.

Pietersz, Raoul, Antoon Pelsser, and Marcel van Regenmortel.  "Fast Drift-Approximated Pricing in the BGM Model."  The Journal of Computational Finance 8 (2004), 93-124.

Piterbarg, Vladimir V.  "Computing Deltas of Callable LIBOR Exotics in Forward LIBOR Models."  The Journal of Computational Finance 7 (Spring, 2004), 107-143.

Piterbarg, Vladimir V.  "Pricing and Hedging Callable Exotics in Forward LIBOR Models."  The Journal of Computational Finance 8 (Winter, 2004-2005), 65-119.

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(R)

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Rebonato, Ricardo. "On the Pricing Implications of the Joint Lognormal Assumption for the Swaption and Cap Market." The Journal of Computational Finance 2 (Spring, 1999), 57-76.

Rebonato, Ricardo. "On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix." The Journal of Computational Finance 2 (Summer, 1999), 5-27.

Rebonato, Ricardo. "The Stochastic Volatility Libor Market Model." Risk 14 (October, 2001), 105-109.

Rebonato, Ricardo.  "A Time-Homogeneous, SABR-Consistent Extension of the LMM."  Risk 20 (November, 2007), 92-97.

Rebonato, Riccardo and Ian Cooper. "The Limitations of Two-Factor Interest Rate Models." The Journal of Financial Engineering 5 (March, 1996), 1-16.

Rebonato, Riccardo, Sukhdeep Mahal,  Mark Joshi, Lars-Dierk Buchholz, and Ken Nyholm.  "Evolving Yield Curves in the Real-World Measures:  A Semi-Parametric Approach."  The Journal of Risk 7 (Spring, 2005), 29-61.

Rebonato, Riccardo, Andrey Pogudin, and Richard White.  "Delta and Vega Hedging in the SABR and LMM-SABR Models." Risk 21 (December, 2008), 94-99.

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Ritchken, Peter and L. Sankarasubramanian. "Volatility Structures of Forward Rates and the Dynamics of the Term Structure." Mathematical Finance 5 (1995), 55-72.

Ritchken, Peter and L. Sankarasubramanian. "The Importance of Forward Rate Volatility Structures in Pricing Interest Rate-Sensitive Claims." The Journal of Derivatives 3(Fall, 1995), 25-41.

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Rogers, Chris. "One for All." Risk 10 (March, 1997), 57-59.

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Rutkowski, Marek. "A Note on the Flesaker-Hughston Model of the Term Structure of Interest Rates." Applied Mathematical Finance 4 (1997), 151-163.


(S)

Sandmann, Klaus and Dieter Sondermann. "A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures." Mathematical Finance 7 (April, 1997), 119-128.

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(T)

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(U)

Uhlrig, Marliese. "An Empirical Examination of the Longstaff-Schwartz Bond Option Valuation Model." The Journal of Derivatives 4 (Fall, 1996), 41-54.


(V)

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(W)

Wei, David Guoming and Dajiang Guo. "Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models." Journal of Fixed Income 7 (September, 1997), 8-28.

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Wu, Ting-Pin and Son-Nan Chen.  "Modifying the LMM to Price Constant Maturity Swaps." The Journal of Derivatives 18 (Winter, 2010), 20-32.

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(Y)

Yaksick, Rudy. "Swaps, Caps and Floors: Some Parity and Price Identities." The Journal of Financial Engineering 1 (June, 1992), 105-115.

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(Z)

Zhao, Ervin Yunwei and Domingo Tavella. "Exact Pricing Formula for Caps and Floors in Arrears." The Journal of Financial Engineering 6 (December, 1997), 321-329.

Zhou, Hao. "Finite Sample Properties of EMM, GMM, QMLE and MLE for a Square-Root Interest Rate Diffusion Model." The Journal of Computational Finance 5 (Winter, 2001-2002), 89-122.

 


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