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Consistent calibration of HJM models to cap implied volatilities
16 references·1 citing·35 second hop
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1986Term Structure Movements and Pricing Interest Rate Contingent Claims1,398 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models519 cited
  • 1999Interest Rate Dynamics and Consistent Forward Rate Curves386 cited
  • 2001Consistency Problems for Heath-Jarrow-Morton Interest Rate Models296 cited
  • 1996Interest-rate option models279 cited
  • 1994A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON250 cited
  • 2001Option Pricing, Interest Rates and Risk Management211 cited
  • 1994Implied volatility functions in arbitrage-free term structure models206 cited
  • 2008Zero-Coupon Yield Curves: Technical Documentation149 cited

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2002
On the construction of finite dimensional realizations for nonlinear forward rate models
96 cited

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  • 2014The Stochastic String Model as a Unifying Theory of the Term Structure of Interest Rates18 cited