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Factor models of domestic and foreign interest rates with stochastic volatilities
Frachot, Antoine - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 167-185
Persistent link: https://www.econbiz.de/10001185052
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Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H. - In: Mathematical finance : an international journal of … 5 (1995) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
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When is the short rate Markovian?
Carverhill, Andrew - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 305-312
Persistent link: https://www.econbiz.de/10001185090
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Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982
Persistent link: https://www.econbiz.de/10011583816
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Swaption pricing in affine and other models
Kim, Don H. - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
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Stochastic volatility corrections for interest rate derivatives
Cotton, Peter; Fouque, Jean-Pierre; Papanicolaou, George; … - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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The affine LIBOR models
Keller‐Ressel, Martin; Papapantoleon, Antonis; … - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
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Term structures of implied volatilites : absence of arbitrage and existence results
Schweizer, Martin; Wissel, Johannes - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 77-114
Persistent link: https://www.econbiz.de/10003643469
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Linear-quadratic jump-diffusion modeling
Cheng, Peng; Scaillet, Olivier - In: Mathematical finance : an international journal of … 17 (2007) 4, pp. 575-598
Persistent link: https://www.econbiz.de/10003626612