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

19923,191 citationsJournal Article

Authors

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

Topics & Keywords

Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Credit Risk and Financial Regulations

Publication Details

Published in: Econometrica

Volume 60, Issue 1, pp. 77-77

DOI: 10.2307/2951677

Field-Weighted Citation Impact: 87.70

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

Authors

Abstract

Topics & Keywords

Publication Details