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S. R. Das, “A Direct Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow- Morton Model,” Journal of Economic Dynamics and Control, Vol. 23, No. 3, 1998, pp. 333-369. doi:10.1016/S0165-1889(98)00031-1

has been cited by the following article:

• TITLE: Interest Rate Models

  AUTHORS: Alex Paseka, Theodoro Koulis, Aerambamoorthy Thavaneswaran

  KEYWORDS: Affine Process; Dynamic Term Structure Models; Jump-Diffusions; Quadratic-Gaussian DTSMs

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.2, May 23, 2012

  ABSTRACT: In this paper, we review recent developments in modeling term structures of market yields on default-free bonds. Our discussion is restricted to continuous-time dynamic term structure models (DTSMs). We derive joint conditional moment generating functions (CMGFs) of state variables for DTSMs in which state variables follow multivariate affine diffusions and jump-diffusion processes with random intensity. As an illustration of the pricing methods, we provide special cases of the general formulations as examples. The examples span a wide cross-section of models from early one-factor models of Vasicek to more recent interest rate models with stochastic volatility, random intensity jump-diffusions and quadratic-Gaussian DTSMs. We also derive the European call option price on a zero-coupon bond for linear quadratic term structure models.