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On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo, (1999)
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul, (1999)
LIBOR market models in practice
Sidenius, Jakob, (2000)
A two-factor, preference-free model for interest rate sensitive claims
Chen, Ren-Raw, (1995)
Exact solutions for futures and European futures options on pure discount bonds
Chen, Ren-Raw, (1992)
Understanding and managing interest rate risks
Chen, Ren-Raw, (1996)