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Interest Rate Modeling: Post-Crisis Challenges and Approaches
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Interest Rate Modeling: Post-Crisis Challenges and Approaches (2015)Interest Rate Modeling: Post-Crisis Chall…Dynamic term structure models for SOFR futures (2021)Dynamic term structure models…Term structure modelling for multiple curves with stochastic discontinuities (2020)Term structure modelling for …A consistent stochastic model of the term structure of interest rates for multiple tenors (2020)A consistent stochastic model…Affine multiple yield curve models (2018)Affine multiple yield curve m…An Exact Bond Option Formula (1989)Option valuation using the fast Fourier transform (1999)Affine processes and applications in finance (2003)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Market Liquidity and Funding Liquidity (2008)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Stochastic Integration and Differential Equations (2005)An equilibrium characterization of the term structure (1977)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Forecasting the Term Structure of Government Bond Yields (2003)
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  • 2018Affine multiple yield curve models37 cited
  • 2020Term structure modelling for multiple curves with stochastic discontinuities27 cited
  • 2020A consistent stochastic model of the term structure of interest rates for multiple tenors24 cited
  • 2021Dynamic term structure models for SOFR futures22 cited

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