The Term Structure of Interest Rates as a Random Field

By Robert S. Goldstein. 2000

162 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/823f5de73217493f76d49c4807502623174961c1

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Citations in the corpus

Term Structure Dynamics in Theory and Reality (2003, methodology): “To fit such patterns in historical yields, Hamilton (1988), Gray (1996), and Ang and Bekaert (2002), among others, have had some success using switching-regime models.”
STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING (2005, unknown): “In the no-arbitrage framework, the dynamics of the interest rates are developed in Goldstein (2000), Kennedy (1994), Santa-Clara and Sornette (2001), and Sornette (1998).”
Random Fields Simplified: Preserving Marginal Distributions, Correlations, and Intermittency, With Applications From Rainfall to Humidity (2020, background): “…https://doi.org/ 10.1029/2019WR026331 Received 11 SEP 2019 Accepted 5 JAN 2020 Accepted article online 10 JAN 2020 PAPALEXIOU AND SERINALDI 1 of 27 and references therein), finance and insurance (e.g., Evstigneev & Zhitlukhin, 2013; Goldstein, 2000; Lescourret & Robert, 2006), and many others.”
The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence (2000, unknown): “…we use a string market model of the term structure of interest rates which blends the market-model framework of Brace, Gatarek, and Musiela (1997) and Jamshidian (1997) with the string-shock framework of Santa-Clara and Sornette (2000), Goldstein (2000), and Longstaff and Schwartz (2000).”
Valuing American Options by Simulation: A Simple Least-Squares Approach (2001, background): “Important examples of string models include the recent articles by Goldstein (1997), Santa-Clara and Sornette (2001), Longstaff, Santa-Clara, and Schwartz (1999, 2000).”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “2Prominent examples include the forward rate models of Ho and Lee (1986), Hull and White (1993), and Heath, Jarrow, and Morton (1992), market rate models of Brace, Gatarek, and Musiela (1997), Jamshidian (1997), Miltersen, Sandmann, and Sondermann (1997), and Musiela and Rutkowski (1997), and string”
Quadratic Variance Swap Models (2016, unknown): “(footnote continued) Jiang and Tian (2005), Jiang and Oomen (2008), Carr and Wu (2009), and Carr and Lee (2010).”