Volatility Models of the Yield Curve

Keywords

Numéraire, Yield curve, Econometrics, Term (time), Volatility (finance)

References

• Interest rate models : an infinite dimensional stochastic analysis perspectiveRené Carmona, Michael R. Tehranchi — 2006
• Exponential Martingales and Time integrals of Brownian MotionVictor Goodman, Kyounghee Kim — 2006
• One-Factor Term Structure without Forward RatesVictor Goodman, Kyounghee Kim — 2006
• Martingale Methods in Financial ModellingMarek Musiela, Marek Rutkowski — 2002
• The Market Model of Interest Rate DynamicsAlan Brace, Dariusz G ̧atarek, Marek Musiela — 1997
• Bond Pricing and the Term Structure of Interest Rates: A Discrete Time ApproximationDavid Heath, Robert A. Jarrow, A. J. Morton — 1990
• Debunking the myths.J A Blakeslee, Beryl Goldman, Dawn Papougenis — 1990
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims ValuationDavid Heath, Robert A. Jarrow, A. J. Morton — 1992

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