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Pricing and hedging volatility smile under multifactor interest rate models
Kuo, I.-doun, (2011)
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe, (2017)
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus, (2019)
Thirty years of derivatives market : originality of the French experience
El Karoui, Nicole, (2023)
A probabilistic approach to the valuation of general floating rate notes
El Karoui, Nicole, (1992)
Arbitrage pricing and hedging of interest rate claims with state variables