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47,767
An equilibrium characterization of the term structure.
 J. Financial Econometrics
, 1977
"... The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient. ..."
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Cited by 1041 (0 self)
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The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient
Guarded Commands, Nondeterminacy and Formal Derivation of Programs
, 1975
"... Socalled "guarded commands" are introduced as a building block for alternative and repetitive constructs that allow nondeterministic program components for which at least the activity evoked, but possibly even the final state, is not necessarily uniqilely determined by the initial state. ..."
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Cited by 527 (0 self)
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. For the formal derivation of programs expressed in terms of these constructs, a calculus will be be shown.
Surface deformation due to shear and tensile faults in a halfspace
, 1985
"... A complete set of closed analytical expressions is presented in a unified manner for the internal displacements and strains due to shear and tensile faults in a halfspace for both point and finite rectangular sources. These expressions are particularly compact and systematically composed of terms r ..."
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Cited by 727 (1 self)
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representing deformations in an infinite medium, a term related to surface deformation and that is multiplied by the depth of observation point. Several practical suggestions to avoid mathematical singularities and computational instabilities are also presented. The expressions derived here represent powerful
A yieldfactor model of interest rates
 Math. Finance
, 1996
"... This paper presents a consistent and arbitragefree multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zerocoupon bond is taken to be a matur ..."
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Cited by 665 (23 self)
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This paper presents a consistent and arbitragefree multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zerocoupon bond is taken to be a
Valuing American options by simulation: A simple leastsquares approach
 Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
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Cited by 517 (9 self)
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factor string model of the term structure. One of the most important problems in option pricing theory is the valuation and optimal exercise of derivatives with Americanstyle exercise features. These types of derivatives are found in all major financial markets including the equity, commodity, foreign
Training Products of Experts by Minimizing Contrastive Divergence
, 2002
"... It is possible to combine multiple latentvariable models of the same data by multiplying their probability distributions together and then renormalizing. This way of combining individual “expert ” models makes it hard to generate samples from the combined model but easy to infer the values of the l ..."
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Cited by 850 (75 self)
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is unnecessary. Training a PoE by maximizing the likelihood of the data is difficult because it is hard even to approximate the derivatives of the renormalization term in the combination rule. Fortunately, a PoE can be trained using a different objective function called “contrastive divergence ” whose
The Vocabulary Problem in HumanSystem Communication
 COMMUNICATIONS OF THE ACM
, 1987
"... In almost all computer applications, users must enter correct words for the desired objects or actions. For success without extensive training, or in firsttries for new targets, the system must recognize terms that will be chosen spontaneously. We studied spontaneous word choice for objects in five ..."
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Cited by 562 (8 self)
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In almost all computer applications, users must enter correct words for the desired objects or actions. For success without extensive training, or in firsttries for new targets, the system must recognize terms that will be chosen spontaneously. We studied spontaneous word choice for objects
Foundations for the Study of Software Architecture
 ACM SIGSOFT SOFTWARE ENGINEERING NOTES
, 1992
"... The purpose of this paper is to build the foundation for software architecture. We first develop an intuition for software architecture by appealing to several wellestablished architectural disciplines. On the basis of this intuition, we present a model of software architecture that consists of th ..."
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Cited by 812 (35 self)
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for the architecture in terms of the system constraints, which most often derive from the system:requirements. We discuss the components of the model in the context of both architectures and architectural styles and present an extended example to illustrate some important architecture and style considerations. We
Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper
, 1997
"... We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
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Cited by 529 (13 self)
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fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests+ We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size
Monitors: An Operating System Structuring Concept
 Communications of the ACM
, 1974
"... This is a digitized copy derived from an ACM copyrighted work. It is not guaranteed to be an accurate copy of the author's original work. This paper develops BrinchHansen's concept of a monitor as a method of structuring an operating system. It introduces a form of synchronization, descri ..."
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Cited by 566 (0 self)
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This is a digitized copy derived from an ACM copyrighted work. It is not guaranteed to be an accurate copy of the author's original work. This paper develops BrinchHansen's concept of a monitor as a method of structuring an operating system. It introduces a form of synchronization
Results 1  10
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47,767