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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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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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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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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
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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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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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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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Affine forward variance models
Gatheral, Jim; Keller-Ressel, Martin - In: Finance and stochastics 23 (2019) 3, pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
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A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Beniamin - In: Finance and stochastics 1 (1997) 4, pp. 345-352
Persistent link: https://www.econbiz.de/10001226609