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 …

In Falkenstein and Hanweck,(1996), we presented a technique for hedging fixed-income
portfolios against non-parallel yield curve shifts called covariance-consistent key rate …

The dynamics for interest rate processes within the well-known multi-factor Heath, Jarrow
and Morton (HJM) specification are considered. Despite the flexibility of and the notable …

This paper surveys the main concepts and techniques of recent developments in the
modeling of the term structure of interest rates that are used in the risk management and …

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 …

An effective technique governments use to evaluate the desirability of different financing
strategies involves stochastic simulation. This approach requires the postulation of the future …

We develop new methodology for estimation of general class of term structure models based
on a Monte Carlo filtering approach. We utilize the generalized state space model which can …

We propose a new approach for estimating the coefficients of the term structure equation by
means of the volatility of the interest rates and the slope of the yield curve. One advantage of …

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 …

Using a simulation approach, we analyze the effect of mean reversion on the value of capital
budgeting postponement options. Two interest rate processes are compared: a pure …