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LIBOR and swap market models and measures

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References

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1997Pricing American-style securities using simulation614 cited
2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
2006Moment explosions in stochastic volatility models403 cited
2003Term Structure Dynamics in Theory and Reality367 cited
2006Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk344 cited
2000Volatility skews and extensions of the Libor market model

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277 cited

2008Modelling and management of mortality risk: a review254 cited

2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments238 cited

2001The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence203 cited

2005Affine stochastic mortality192 cited

2003The Term Structure of Simple Forward Rates with Jump Risk175 cited

2005Extended Libor market models with stochastic volatility163 cited

1997Continuous-time term structure models: Forward measure approach160 cited

1999A market model for stochastic implied volatility158 cited

2000Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model156 cited

2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited