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Forward transition rates
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens - In: Finance and stochastics 23 (2019) 4, pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
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Additive subordination and its applications in finance
Li, Jing; Li, Lingfei; Mendoza-Arriaga, Rafael - In: Finance and stochastics 20 (2016) 3, pp. 589-634
Persistent link: https://www.econbiz.de/10011531020
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Continuous-time term structure models : forward measure approach
Musiela, Marek - In: Finance and stochastics 1 (1997) 4, pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
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Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano - In: Finance and stochastics 3 (1999) 4, pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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Affine forward variance models
Gatheral, Jim; Keller-Ressel, Martin - In: Finance and stochastics 23 (2019) 3, pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
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Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo; Severino, Federico - In: Finance and stochastics 22 (2018) 4, pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
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Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying; Ma, Chunhua; Scotti, Simone - In: Finance and stochastics 21 (2017) 3, pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
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Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162