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2. Calendar Spread Exchange Options Pricing with Gaussian Random Fields. (2018). Hainaut, Donatien.
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3. Pricing Option on Commodity Futures under String Shock. (2017). Deepak, Bisht ; Laha, A K.
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4. Quadratic variance swap models. (2016). Mancini, Loriano ; Gourier, Elise ; Filipovi, Damir.
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8. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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10. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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1. Pricing currency derivatives under the benchmark approach. (2015). Platen, Eckhard ; Grasselli, Martino ; Baldeaux, Jan.
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2. Evaluating Callable and Putable Bonds: An Eigenfunction Expansion Approach. (2012). Linetsky, Vadim ; Lim, Dongjae .
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3. A martingale approach for testing diffusion models based on infinitesimal operator. (2011). SONG, ZHAOGANG.
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4. Modeling the dynamics of Chinese spot interest rates. (2010). Lin, Hai ; Hong, Yongmiao ; Wang, Shouyang.
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5. Efficient importance sampling maximum likelihood estimation of stochastic differential equations. (2010). Rossi, Eduardo ; Pastorello, S..
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6. Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models. (2010). GAO, Jiti ; Chen, Song.
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7. Testing Linearity in Term Structures. (2009). Peroni, Chiara.
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8. A two-stage realized volatility approach to estimation of diffusion processes with discrete data. (2009). Yu, Jun ; Phillips, Peter ; Phillips, Peter C. B., .
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9. Modeling the term structure of interest rates with general diffusion processes: A moment approximation approach. (2009). Takamizawa, Hideyuki ; Shoji, Isao.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:33:y:2009:i:1:p:65-77.

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10. On the Generalized Brownian Motion and its Applications in Finance. (2008). Høg, Esben ; Frederiksen, Per ; Hog, Esben ; Schiemert, Daniel .
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11. Zero bound, option-implied PDFs, and term structure models. (2008). Kim, Don H..
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12. A comparison of international short-term rates under no arbitrage condition. (2008). Mahdavi, Mahnaz.
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13. A non-parametric investigation of risk premia. (2007). Peroni, Chiara.
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14. A new approach for option pricing under stochastic volatility. (2007). Carr, Peter ; Sun, Jian.
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15. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Czellar, Veronika ; Ronchetti, Elvezio.
    In: Journal of Empirical Finance.
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16. Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions. (2007). Kimmel, Robert L..
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17. Nonparametric Estimation and Misspecification Testing of Diffusion Models. (2007). Kristensen, Dennis.
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18. The Fractional OU Process: Term Structure Theory and Application. (2006). Høg, Esben ; Hoeg, Esben.
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19. Estimation and model specification testing in nonparametric and semiparametric econometric models. (2006). King, Maxwell ; GAO, Jiti.
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20. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Frederiksen, Per H. ; Hog, Espen P..
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21. A comprehensive analysis of the short-term interest-rate dynamics. (2006). Wu, Liuren ; Bali, Turan G..
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22. A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete. (2006). Yu, Jun ; Phillips, Peter ; Peter C. B. Phillips, .
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23. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance. (2006). Yu, Jun ; Phillips, Peter ; Peter C. B. Phillips, .
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24. ESTIMATING SINGLE FACTOR JUMP DIFFUSION INTEREST RATE MODELS. (2005). Sorwar, Ghulam.
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25. What causes mean reversion in corporate bond index spreads? The impact of survival. (2005). Bhanot, Karan.
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26. Intertemporal asset allocation: A comparison of methods. (2005). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
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27. Regime shifts in interest rate volatility. (2005). Sun, Licheng.
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28. Drift and diffusion function specification for short-term interest rates. (2005). Lee, Myoung-jae ; Li, Wen-Juan.
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29. A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations. (2005). Yu, Jun ; Phillips, Peter.
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30. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process. (2005). Li, Fuchun.
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31. General Properties of Rational Stock-Market Fluctuations. (2004). Mele, Antonio.
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32. Modeling the term structure of interest rates: A new approach. (2004). Kimmel, Robert L..
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33. General equilibrium real and nominal interest rates. (2004). lioui, abraham ; Poncet, Patrice.
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34. Nonlinearity in the Term Structure. (2004). Kim, Dong Heon.
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35. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
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36. Nonparametric Methods in Continuous-Time Finance: A Selective Review. (2003). Hong, Yongmiao ; CAI, ZONGWU.
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37. Quasi-maximum likelihood estimates of Kiwi short-term interest rate. (2003). Treepongkaruna, Sirimon.
    In: Applied Economics Letters.
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38. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
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39. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
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40. Likelihood-based specification analysis of continuous-time models of the short-term interest rate. (2003). Durham Garland B., .
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    RePEc:eee:jfinec:v:70:y:2003:i:3:p:463-487.

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41. Term structure estimation from on-the-run Treasuries. (2003). Mansi, Sattar A. ; Jordan, James V..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:8:p:1487-1509.

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42. Modeling the stochastic behavior of short-term interest rates: Pricing implications for discount bonds. (2003). Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:2:p:201-228.

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43. Fixed-income pricing. (2003). Dai, Qiang ; SINGLETON, KENNETH J..
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-20.

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44. Robust GMM analysis of models for the short rate process. (2003). Trojani, Fabio ; Ronchetti, Elvezio ; Dell'Aquila, Rosario, .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:3:p:373-397.

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45. Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets. (2002). Santa-Clara, Pedro ; Pedro, Santa-Clara ; Brandt Michael W., .
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46. The surprise element: jumps in interest rates. (2002). Das, Sanjiv.
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47. Short rate nonlinearities and regime switches. (2002). Bekaert, Geert ; Ang, Andrew.
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48. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
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49. Short and Long Memory in Equilibrium Interest Rate Dynamics. (2001). Jacobs, Kris ; Duan, Jin-Chuan.
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50. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2000-39.

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