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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
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On the term structure of default premia in the swap and LIBOR markets
Collin-Dufresne, Pierre; Solnik, Bruno - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 1095-1115
Persistent link: https://www.econbiz.de/10001593029
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Explorations into factors explaining money market returns
Knez, Peter J. - In: The journal of finance : the journal of the American … 49 (1994) 5, pp. 1861-1882
Persistent link: https://www.econbiz.de/10001174943
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Transition densities for interest rate and other nonlinear diffusions
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1361-1395
Persistent link: https://www.econbiz.de/10001395770
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Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
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The impact of collateralization on swap rates
Johannes, Michael; Sundaresan, Suresh M. - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 383-410
Persistent link: https://www.econbiz.de/10003425912
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Do bonds span the fixed income markets? : Theory and evidence for unspanned stochastic volatility
Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of finance : the journal of the American … 57 (2002) 4, pp. 1685-1730
Persistent link: https://www.econbiz.de/10001696255
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The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael - In: The journal of finance : the journal of the American … 59 (2004) 1, pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
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Closed form solutions for term structure derivatives with log-normal interest rates
Miltersen, Kristian R. - In: The journal of finance : the journal of the American … 52 (1997) 1, pp. 409-430
Persistent link: https://www.econbiz.de/10001217780
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On arbitrage-free pricing of interest rate contingent claims
Ritchken, Peter H. - In: The journal of finance : the journal of the American … 45 (1990) 1, pp. 259-264
Persistent link: https://www.econbiz.de/10001084192