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Chaos and coherence: a new framework for interest–rate modelling
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References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
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  • 1991A Quick Algorithm for Pricing European Average Options424 cited
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  • 1996Lectures on the Mathematics of Finance

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  • 2004Ekonometryczne modelowanie dynamiki polskiego rynku finansowego75 cited
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  • 2019Stochastic Differential Equations23 cited
  • 2015THE MULTI-CURVE POTENTIAL MODEL23 cited
  • 2004Wiener chaos and the Cox–Ingersoll–Ross model23 cited
  • 2005Eurodollar Futures and Options: Convexity Adjustment in HJM One-Factor Model22 cited
  • 2006A Semi‐Explicit Approach to Canary Swaptions in HJM One‐Factor Model21 cited
  • 2015Rational multi-curve models with counterparty-risk valuation adjustments19 cited
  • 2014HEAT KERNEL MODELS FOR ASSET PRICING19 cited