A Theory of the Term Structure of Interest Rates.
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Cites methods from "A Theory of the Term Structure of I..."
...Next, to ensure proper discounting of future cash flows, we adopt a singlefactor term structure model of the Cox, Ingersoll, and Ross (1985) type as it requires the estimation of only three structural parameters: dR(t) = [OR - KRR(t)]dt + R R(t0dWR(t), (5) 3 See, for example, Bates (1996a,c),…...
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"A Theory of the Term Structure of I..." refers methods in this paper
...An arbitrage approach to bond pricing was developed in a series of papers by Brennan and Schwartz [3], Dothan [10], Garman [14], Richard [28], and Vasicek [37]....
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Additional excerpts
...4This type of separability has been shown in other contexts by Hakansson [15], Merton [22], and Samuelson [32]....
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"A Theory of the Term Structure of I..." refers background or methods in this paper
...In Section 3, we specialized the general equilibrium framework of Cox, Ingersoll, and Ross [6] to develop a complete model of bond pricing....
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...In this section, we briefly review and specialize the general equilibrium model of Cox, Ingersoll, and Ross [6]....
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...Section 2 summarizes the equilibrium model developed in Cox, Ingersoll, and Ross [6] and specializes it for studying the term structure....
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...We now cite two principal results from [6] which we will need frequently in this paper....
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...Arguments similar to those employed in the proof of Theorem 2 of Cox, Ingersoll, and Ross [6] are used to show that if there are no arbitrage opportunities, Y must have the form...
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