We empirically compare a wide range of term structure models used in the pricing and, in
particular, hedging of caps and swaptions. We analyze the influence of the number of factors …

This article tests the performance of a wide variety of well‐known continuous time models—
with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term …

Its intuitiveness and the simplicity of its calculations make the seminal Black-Scholes-Merton
option pricing model the most commonly known and used among all asset pricing models …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

This paper models the stochastic behavior of short-term interest rates, and determines the
correct specification of the drift and diffusion functions of the spot rate process. A wide variety …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

In the summer of 1991, the first issue of The Journal of Fixed Income was published. More
than 900 articles have been published in the journal since then, educating market …

This article introduces a two‐factor‐discrete‐time‐stochastic‐volatility model that allows for
departures from linearity in the conditional mean and incorporates serially correlated …

This paper deals with issues related to the choice of the interest rate model to price interest
rate derivatives. After the development of the market models, choosing the interest rate …

This article focuses on pricing Eurodollar futures options using the single‐factor Black,
Derman, and Toy (1990) term structure model with particular emphasis on yield curve …