Malykh, N. O.; Postevoy, I. S. Calculation of the convexity adjustment to the forward rate in the Vašíček model for the forward in-arrears contracts on LIBOR rate. (English) Zbl 1454.91319 Theory Probab. Math. Stat. 99, 189-198 (2019) and Teor. Jmovirn. Mat. Stat. 99, 168-176 (2018). Reviewer: Stefan Tappe (Freiburg) MSC: 91G30 PDFBibTeX XMLCite \textit{N. O. Malykh} and \textit{I. S. Postevoy}, Theory Probab. Math. Stat. 99, 189--198 (2019; Zbl 1454.91319) Full Text: DOI
Dhaene, J.; Kukush, A.; Linders, D. The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. (English. Ukrainian original) Zbl 1304.91215 Theory Probab. Math. Stat. 88, 85-98 (2014); translation from Teor. Jmovirn. Mat. Stat. 88, 76-89 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60H10 60J60 91B24 60J65 91B25 PDFBibTeX XMLCite \textit{J. Dhaene} et al., Theory Probab. Math. Stat. 88, 85--98 (2014; Zbl 1304.91215); translation from Teor. Jmovirn. Mat. Stat. 88, 76--89 (2013) Full Text: DOI