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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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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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A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 5 (2001) 3, pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
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A simple regime switching term structure model
Hansen, Asbjørn Trolle; Poulsen, Rolf - In: Finance and stochastics 4 (2000) 4, pp. 409-429
Persistent link: https://www.econbiz.de/10001539190
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Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen; Krühner, Paul - In: Finance and stochastics 22 (2018) 2, pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
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Regime switching affine processes with applications to finance
Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Counterparty risk and funding : immersion and beyond
Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930
Persistent link: https://www.econbiz.de/10011569906