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Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei, (2017)
Real-world scenarios with negative interest rates based on the LIBOR market model
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan, (2023)
Pricing options on multiple assets
Cheyette, Oren, (1990)
Fixed income risk modeling
Breger, Ludovic, (2006)
OAS Analysis for CMOs
Cheyette, Oren, (1994)