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A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
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Forward rate models with linear volatilities
Barski, Michał; Zabczyk, Jerzy - In: Finance and stochastics 16 (2012) 3, pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
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The Lévy LIBOR model
Eberlein, Ernst; Özkan, Fehmi - In: Finance and stochastics 9 (2005) 3, pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
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Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl; Kwon, Oh Kang - In: Finance and stochastics 5 (2001) 2, pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
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Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul; Zhao, Xiaoliang - In: Finance and stochastics 4 (2000) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
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Markov-functional interest rate models
Hunt, Phil J.; Kennedy, Joanne; Pelsser, Antoon André Jean - In: Finance and stochastics 4 (2000) 4, pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
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Volatility of the short rate in the rational lognormal model
Goldberg, Lisa - In: Finance and stochastics 2 (1998) 2, pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
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Path dependent options on yields in the affine term structure model
Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
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Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
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Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483-492
Persistent link: https://www.econbiz.de/10001412198