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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald, (1999)
Options on Realized Variance by Transform Methods : A Non-Affine Stochastic Volatility Model
Drimus, Gabriel G., (2012)
Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
Sepp, Artur, (2010)
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo, (2018)
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo, (1999)
A class of arbitrage-free log-normal-short-rate two-factor models
Rebonato, Riccardo, (1997)