articleTop 1% cited
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
Econometrica · 1992 · Vol. 60(1) · pp. 77–77
Abstract
David Heath, Robert Jarrow, Andrew Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 77-105
Stochastic processes and financial applicationsInsurance, Mortality, Demography, Risk ManagementCredit Risk and Financial RegulationsEconomicsBondBond valuationContingent valuationTerm (time)Valuation (finance)Financial economicsInterest rateActuarial scienceYield curve
Citations
3,190
FWCI
86.93
field-weighted impact
References
17
Percentile
100%
vs. same field & year
Citations per year
Cited by
A Markov Model for the Term Structure of Credit Risk Spreads
Review of Financial Studies · 1997 · 1,514 citations
Pricing Interest-Rate-Derivative Securities
Review of Financial Studies · 1990 · 2,232 citations
Valuing American Options by Simulation: A Simple Least-Squares Approach
Review of Financial Studies · 2001 · 3,289 citations
Modeling Term Structures of Defaultable Bonds
Review of Financial Studies · 1999 · 2,574 citations
Regression methods for pricing complex American-style options
IEEE Transactions on Neural Networks · 2001 · 638 citations
References
Stochastic Differential Equations and Diffusion Processes
Technometrics · 1983 · 3,894 citations
A continuous time approach to the pricing of bonds
Journal of Banking & Finance · 1979 · 811 citations
Two Singular Diffusion Problems
Annals of Mathematics · 1951 · 884 citations
A Theory of the Term Structure of Interest Rates
Econometrica · 1985 · 8,513 citations
Citation Network
How this paper connects to the literature. Drag to explore, click any node to open that paper.