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THE AFFINE LIBOR MODELS
16 references·6 citing·36 second hop
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1997Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates562 cited
  • 2004Financial Derivatives in Theory and Practice425 cited
  • 2006Interest Rate Models — Theory and Practice311 cited
  • 2002The cumulant process and Esscher's change of measure280 cited
  • 2003Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type257 cited
  • 2010A Fourier Transform Method for Spread Option Pricing182 cited
  • 2003The Term Structure of Simple Forward Rates with Jump Risk175 cited

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Cited by

  • 2018Affine multiple yield curve models37 cited
  • 2014On Multicurve Models for the Term Structure29 cited
  • 2015Tempered stable Ornstein– Uhlenbeck processes: A practical view26 cited
  • 2015THE MULTI-CURVE POTENTIAL MODEL23 cited
  • 2016A flexible spot multiple-curve model23 cited
  • 2013Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View23 cited