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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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Swaption pricing in affine and other models
Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
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Admissibility of generic market models of forward swap rates
Li, Libo; Rutkowski, Marek - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
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Stochastic volatility corrections for interest rate derivatives
Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; … - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
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The asymptotic expansion approach to the valuation of interest rate contingent claims
Kunitomo, Naoto; Takahashi, Akihiko - In: Mathematical finance : an international journal of … 11 (2001) 1, pp. 117-151
Persistent link: https://www.econbiz.de/10001650922
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On finite dimensional realizations of two-country intereste rate models
Slinko, Irina - In: Mathematical finance : an international journal of … 20 (2010) 1, pp. 117-143
Persistent link: https://www.econbiz.de/10003955690
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The affine LIBOR models
Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
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Rating based Lévy Libor model
Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
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Theory and calibration of swap market models
Galluccio, S.; Ly, J.-M.; Huang, Z.; Scaillet, Olivier - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 111-141
Persistent link: https://www.econbiz.de/10003543112
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Interest rate dynamics and consistent forward rate curves
Björk, Tomas; Christensen, Bent Jesper - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 323-348
Persistent link: https://www.econbiz.de/10001444264