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On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
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On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix (1999)On the simultaneous calibration of multif…Review Paper. Interest–rate term–structure pricing models: a review (2004)Review Paper. Interest–rate t…On the Information in the Interest Rate Term Structure and Option Prices (2004)On the Information in the Int…Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model (2003)Systematic Generation of Para…Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets (2003)Hedging in the Possible Prese…A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives (2003)A Multifactor Spot Rate Model…Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework (2001)Stochastic Correlation and th…Pricing Models for Bermudan-style Interest Rate Derivatives (2001)Pricing Models for Bermudan-s…Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis (2001)Libor Market Models versus Sw…Interest rates and information geometry (2001)Interest rates and informatio…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Financial Services and Emerging Markets (2006)Managers’ Exploration and Exploitation Activities: The Influence of Organizational Factors and Knowledge Inflows (2006)Brownian Motion and Stochastic Calculus (2007)Computational and Game-Theoretic Approaches for Modeling Bounded Rationality (2007)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)Stochastic string models with continuous semimartingales (2015)The Pricing of Options and Corporate Liabilities (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)An Empirical Comparison of Alternative Credit Default Swap Pricing Models (2012)Fixed-income securities: bibliometric review with network analysis (2018)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)LIBOR and swap market models and measures (1997)The Market Model of Interest Rate Dynamics (1997)THEORY AND CALIBRATION OF SWAP MARKET MODELS (2006)An equilibrium characterization of the term structure (1977)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Martingales and arbitrage in multiperiod securities markets (1979)CONDITIONAL DENSITY MODELS FOR ASSET PRICING (2012)Stochastic Differential Equations (2019)Information, Inattention, Perception, and Discounting (2020)Fast drift-approximated pricing in the BGM model (2004)“Options, Futures, and Other Derivatives” (2016)The pricing of commodity contracts (1976)The LIBOR model dynamics: Approximations, calibration and diagnostics (2004)Level–Slope–Curvature – Fact or Artefact? (2007)Option-Implied Correlations and the Price of Correlation Risk (2012)Conditional volatility in affine term-structure models: Evidence from Treasury and swap markets☆ (2008)Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (2009)
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Cited by

  • 2003Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence from Swaption Markets85 cited
  • 2001Interest rates and information geometry82 cited
  • 2001Pricing Models for Bermudan-style Interest Rate Derivatives60 cited
  • 2001Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis43 cited
  • 2004On the Information in the Interest Rate Term Structure and Option Prices40 cited
  • 2003Systematic Generation of Parametric Correlation Structures for the LIBOR Market Model36 cited
  • 2001Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework34 cited
  • 2004Review Paper. Interest–rate term–structure pricing models: a review31 cited
  • 2003A Multifactor Spot Rate Model for the Pricing of Interest Rate Derivatives21 cited

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