References
- A. Brace and M. Musiela, A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton. Math. Finance, 1994, 4, 259–283. doi: 10.1111/j.1467-9965.1994.tb00095.x
- M.A.H. Dempster, E.A. Medova and M. Villaverde, Long-term interest rates and consol bond valuation. J. Asset Manag., 2010, 11, 113–135. doi: 10.1057/jam.2010.7
- D. Heath, R. Jarrow and A. Morton, Bond pricing and the term structure of interest rates: A new methodology. Econometrica, 1992, 61, 77–105. doi: 10.2307/2951677
- J. Hull and A. White, Pricing interest-rate derivative securities. Rev. Financ. Stud., 1990, 3, 573–592. doi: 10.1093/rfs/3.4.573
- F. Jamshidian, A LIBOR and swap market models and measures. Finance Stoch., 1997, 1, 293–330. doi: 10.1007/s007800050026
- R. Stanton, A nonparametric model of term structure dynamics and the market price of interest rate. J. Finance, 1997, 52, 1973–2002. doi: 10.1111/j.1540-6261.1997.tb02748.x
- T. Yasuoka, LIBOR market model under the real-world measure. Int. J. Theor. Appl. Finance, 2013, 16(4):1350024 (18 pages). doi: 10.1142/S0219024913500246