1、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 p
2、rinciple. 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 provide
3、d. 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
4、. 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
5、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. Ada
6、ms, 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. Aca, enay. “The Performance of Alternative Interest Rate Risk Measures and Immunization Strategies Under a Heath-Jarrow-Morton Framewo
7、rk.“ Journal of Financial and Quantitative Analysis 40 (September, 2005), 645-669. Aca, enay 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.
8、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
9、-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 1
10、5 (Spring, 2002), 243-288. At-Sahlia, Yacine. “Testing Continuous-Time Models of the Spot Rate.“ The Review of Financial Studies. 9 (Summer, 1996), 385-426. At-Sahlia, Yacine. “Transition Densities for Interest Rate and Other Nonlinear Diffusions.“ The Journal of Finance. 54 (August, 1999), 1361-139
11、5. 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 A
12、ffine 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.
13、 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
14、 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
15、(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 Comprehensi
16、ve 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. Att
17、ari, 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,
18、 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
19、. 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 Te
20、rm 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
21、: 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 Intere
22、st 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, Sanjiv R
23、anjan 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
24、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
25、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 (
26、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
27、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.
28、 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 A
29、dditions 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 (Sept
30、ember, 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
31、 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 Deriv
32、atives 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 Researc
33、h 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 Arbitrag
34、e-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 Reduc
35、ation 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. Bjerksu
36、nd, Petter and Gunnar Stensland. “Implementation of the Black-Derman-Toy Interest Rate Model.“ The Journal of Fixed Income 6 (September, 1996), 67-75. Bjrk, Tomas, Yuri Kabanov, and Wolfgang Runggalder. “Bond Market Structure in the Presence of Marked Point Processes.“ Mathematical Finance 7 (April,
37、 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 Logn
38、ormal.“ 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.“ Journ
39、al 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 Vo
40、latility.“ 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 Resear
41、ch 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 Misspecif
42、ication 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 Musiel
43、a. “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 Gau
44、ssian 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 Finan
45、cial 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 Schwart
46、z. “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
47、, 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 P
48、ractice, 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 Schbel. “The Pricing of Default-F
49、ree 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. Brown, Roger H. and Stephen M. Schaefer. “The Term Structure of Real Interest Rates and the Cox, Ingersoll and Ross Model.“ Journal of Financial Econom
