This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper uses an HJM model to price TIPS and related derivative securities. First, using
the market prices of TIPS and ordinary US Treasury securities, both the real and nominal …

This paper studies the behavior of the default-risk-free real term structure and term premia in
two general equilibrium endowment economies with complete markets but without money. In …

This is a survey of the basic theoretical foundations of intertemporal asset pricing theory. The
broader theory is first reviewed in a simple discrete-time setting, emphasizing the key role of …

A measure of the credibility of monetary policy is the inflation risk premium in nominal yields.
This will be time varying and can be estimated by combining the information in the nominal …

We study the fitting of the euro yield curve with the Longstaff and Schwartz (1992)(LS) two-
factor general equilibrium model and the Schaefer and Schwartz (1984)(SS) two-factor …

We analyze consumption and asset pricing with recursive preferences given by Kreps--
Porteus stochastic differential utility (K--P SDU). We show that utility depends on two state …

This article prices caps and swaptions in the Spanish market using the Vasicek, Cox,
Ingersoll, and Ross and Hull and White (HW) models. Derivative prices obtained with the …

Inflation‐indexed bonds, as a way of financing government debt, were proposed in the
1920s by economists such as Alfred Marshall and John Maynard Keynes. In Israel, they …

В работе рассматриваются процессы, происходившие на российском рынке
государственных краткосрочных облигаций (ГКО) в 1993–1998 годах. На основе …