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A survey on modeling and analysis of basis spreads
Fujii, Masaaki; Takahashi, Akihiko - In: Recent advances in financial engineering 2011: …, (pp. 43-53). 2012
Persistent link: https://www.econbiz.de/10009573489
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Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003797794
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Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.; Yi, Sang-bin - In: The journal of fixed income 17 (2007) 3, pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
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Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John; White, Alan - In: The journal of fixed income 10 (2000) 2, pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
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Essays on interest-rate volatility and the pricing of interest-rate derivative assets
Hanweck, Gerald Alfred - 1994
Persistent link: https://www.econbiz.de/10000916134
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Non-negativity of nominal and real riskless rates, arbitrage theory, and the null-alternative cash
Nietert, Bernhard (contributor); Wilhelm, Jochen (contributor) - 2004
Persistent link: https://www.econbiz.de/10002184410
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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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Market price of risk specifications for affine models : theory and evidence
Cheridito, Patrick; Filipović, Damir; Kimmel, Robert - In: Journal of financial economics 83 (2007) 1, pp. 123-170
Persistent link: https://www.econbiz.de/10003410381
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Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert - 2008
Persistent link: https://www.econbiz.de/10003671104