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Testing the Heath-Jarrow-Morton - Ho-Lee model of interest rate contingent claims pricing
Flesaker, Bjorn, (1993)
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel, (2000)
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John, (2000)
Simulating correlated defaults
Duffie, Darrell, (1998)
Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell, (2000)
Modeling term structures of defaultable bonds
Duffie, Darrell, (1999)