Hanton, Pierre; Henrard, Marc CMS, CMS spreads and similar options in the multi-factor HJM framework. (English) Zbl 1255.91428 Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250048, 18 p. (2012). MSC: 91G60 91G20 91G70 PDFBibTeX XMLCite \textit{P. Hanton} and \textit{M. Henrard}, Int. J. Theor. Appl. Finance 15, No. 7, Article ID 1250048, 18 p. (2012; Zbl 1255.91428) Full Text: DOI
Joshi, Mark; Yang, Chao Fast delta computations in the swap-rate market model. (English) Zbl 1209.91168 J. Econ. Dyn. Control 35, No. 5, 764-775 (2011). MSC: 91G60 91G20 91G30 PDFBibTeX XMLCite \textit{M. Joshi} and \textit{C. Yang}, J. Econ. Dyn. Control 35, No. 5, 764--775 (2011; Zbl 1209.91168) Full Text: DOI