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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen; Kerkhof, Franciscus Lambertus Johannes - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
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Dynamics of spot, forward, and futures libor rates
Rutkowski, Marek - In: International journal of theoretical and applied finance 1 (1998) 3, pp. 425-445
Persistent link: https://www.econbiz.de/10001251045
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CMS, CMS spreads and similar options in the multi-factor HJM framework
Hanton, Pierre; Henrard, Marc - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10009685893
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LIBOR market model under the real-world measure
Yasuoka, Takashi - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10009780632
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Explosive behavior in a log-normal interest rate model
Pirjol, Dan - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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Note on the Smith-Wilson interest rate curve
Gach, Florian - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
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Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
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Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka; Kennedy, Joanne E. - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
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Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques; McWalter, Thomas A. - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011892565