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Pricing Swaptions within the Affine Framework
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Pricing Swaptions within the Affine Framework (2001)Pricing Swaptions within the Affine Frame…THE AFFINE LIBOR MODELS (2012)THE AFFINE LIBOR MODELSOption pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (2012)Option pricing where the unde…Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework (2001)Stochastic Correlation and th…Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions (2000)Theory of rational option pricing (2005)The pricing of commodity contracts (1976)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)On Multicurve Models for the Term Structure (2014)Affine multiple yield curve models (2018)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates (2014)
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  • 2012THE AFFINE LIBOR MODELS39 cited
  • 2012Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order37 cited
  • 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework34 cited

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