Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

1992/01/01 by David Heath, Robert A. Jarrow, A. J. Morton · 14 citations
Economics, Econometrics and Finance · Social Sciences · #Actuarial science #Bond #Bond valuation #Contingent valuation #Credit Risk and Financial Regulations #Econometrics #Economics #Finance #Financial economics #Insurance, Mortality, Demography, Risk Management #Interest rate #Microeconomics #Monetary economics #Stochastic processes and financial applications #Term (time) #Valuation (finance) #Willingness to pay #Yield curve

paper · doi:10.2307/2951677

openalex publication_date 1992/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05

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

Citations

• Martingales and stochastic integrals in the theory of continuous trading
• Two Singular Diffusion Problems

Cited by

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• DYNAMIC CDO TERM STRUCTURE MODELING
• Closed-Form Likelihood Expansions for Multivariate Diffusions
• A Market Model for VIX Futures
• Efficient swaptions price in Hull-White one factor model
• What is the natural scale for a Lévy process in modelling term structure of interest rates?
• Quantum field theory of forward rates with stochastic volatility
• Rational term structure models with geometric Lévy martingales
• Scale-invariance and contingent claim pricing
• Functional dynamic factor models with application to yield curve forecasting
• Simulation of Implied Volatility Surfaces via Tangent Levy Models
• Toward pricing financial derivatives with an IBM quantum computer
• Heath–Jarrow–Morton framework [wikipedia]