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Empirical tests of two state-variable HJM models
Bliss, Robert R.; Ritchken, Peter H. - 1995
Persistent link: https://www.econbiz.de/10000925737
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Empirical tests of two state-variable Heath-Jarrow-Morton models
Bliss, Robert R. - In: Journal of money, credit and banking : JMCB 28 (1996) 3, pp. 452-476
Persistent link: https://www.econbiz.de/10001334599
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Movements in the term structure of interest rates
Bliss, Robert R. - In: Economic review 82 (1997) 4, pp. 16-33
Persistent link: https://www.econbiz.de/10001234405
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Testing term structure estimation methods
Bliss, Robert R. - In: Advances in futures and options research : a research annual 9 (1997), pp. 197-231
Persistent link: https://www.econbiz.de/10001226754
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Option-implied risk aversion estimates
Bliss, Robert R.; Panigirtzoglou, Nikolaos - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 407-446
Persistent link: https://www.econbiz.de/10001932564
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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On bounding option prices in Paretian stable markets
Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43
Persistent link: https://www.econbiz.de/10001246678