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3. Short-term Dynamics in the Cyprus Stock Exchange. (2006). Pericli, Andreas ; Trigeorgis, Lenos ; Koutmos, Gregory .
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4. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
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5. Multivariate term structure models with level and heteroskedasticity effects. (2005). Christiansen, Charlotte.
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1. The stochastic string model as a unifying theory of the term structure of interest rates. (2016). Navas, Javier ; Moreno, Manuel.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:461:y:2016:i:c:p:217-237.

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2. Survey sentiment and interest rate option smile. (2015). Chen, Cathy Yi-Hsuan ; Kuo, I-Doun, .
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:37:y:2015:i:c:p:125-137.

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3. A cyclical square-root model for the term structure of interest rates. (2015). Moreno, Manuel ; Platania, Federico.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:241:y:2015:i:1:p:109-121.

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4. A Path-Independent Humped Volatility Model for Option Pricing. (2013). Costabile, Massimo ; Russo, Emilio.
   In: Applied Mathematical Finance.
   RePEc:taf:apmtfi:v:20:y:2013:i:3:p:191-210.

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5. Pricing and hedging volatility smile under multifactor interest rate models. (2011). I.-Doun Kuo, .
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:36:y:2011:i:1:p:83-104.

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6. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets. (2011). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:160:y:2011:i:1:p:48-57.

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7. Pricing caps with HJM models: The benefits of humped volatility. (2010). Falini, Jury .
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:207:y:2010:i:3:p:1358-1367.

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8. Pricing Asian Interest Rate Options with a Three-Factor HJM Model. (2010). Lion, Octavio Bessada ; Barbedo, Claudio Henrique ; Machado, Jose Valentim.
   In: Brazilian Review of Finance.
   RePEc:brf:journl:v:8:y:2010:i:1:p:9-23.

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9. Pricing caps with HJM models: the benefits of humped volatility. (2009). Falini, Jury .
   In: Department of Economics University of Siena.
   RePEc:usi:wpaper:563.

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10. Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options. (2009). Kuo, I-Doun, ; Lin, Yueh-Neng .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:1:p:23-32.

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11. Pricing Asian Interest Rate Options with a Three-Factor HJM Model. (2009). Vicente, José Valentim ; Bessada Lion, Octavio ; Claudio Henrique da Silveira Barbedo, ; Octavio Manuel Bessada Lion, ; Jose Valentim Machado Vicente, .
    In: Working Papers Series.
    RePEc:bcb:wpaper:188.

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12. The Term Structure of Interest Rates. (2009). Jarrow, Robert.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:1:y:2009:p:69-96.

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13. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2008). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1181.

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14. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-09.

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15. Notes and Comments: An approximation of caplet implied volatilities in Gaussian models. (2006). Herzel, Stefano ; Angelini, Flavio.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:28:y:2006:i:2:p:113-127.

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16. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps. (2006). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas.
    In: Working Papers.
    RePEc:qed:wpaper:1188.

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17. Model misspecification analysis for bond options and Markovian hedging strategies. (2006). Pistre, Nathalie ; Bossy, Mireille ; Lhabitant, Francois-Serge ; Talay, Denis ; Gibson, Rajna.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:9:y:2006:i:2:p:109-135.

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18. The Multifactor Nature of the Volatility of Futures Markets. (2006). .
    In: Computational Economics.
    RePEc:kap:compec:v:27:y:2006:i:2:p:163-183.

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19. The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach. (2005). Chiarella, Carl ; Hung, Hing ; To, Thuy-Duong .
    In: Research Paper Series.
    RePEc:uts:rpaper:151.

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20. The Multifactor Nature of the Volatility of the Eurodollar Futures Market. (2005). Chiarella, Carl ; To, Thuy-Duong .
    In: Research Paper Series.
    RePEc:uts:rpaper:150.

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21. Pricing and hedging interest rate options: Evidence from cap-floor markets. (2005). Gupta, Anurag ; Subrahmanyam, Marti G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:3:p:701-733.

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22. The implied jump risk of LIBOR rates. (2005). Ting, Christopher ; Warachka, Mitch ; Guan, Lim Kian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:10:p:2503-2522.

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23. A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. (2005). Chiarella, Carl ; Clewlow, Les ; Musti, Silvana .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:161:y:2005:i:2:p:325-336.

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24. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
    In: Finance.
    RePEc:wpa:wuwpfi:0409003.

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25. Getting the Most Out of a Mandatory Subordinated Debt Requirement. (2003). Thomson, James ; Haubrich, Joseph ; Fan, Rong ; Ritchken, Peter .
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:24:y:2003:i:2:p:149-179.

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

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27. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions. (2003). Melenberg, Bertrand ; Driessen, Joost ; Klaassen, Pieter .
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:38:y:2003:i:03:p:635-672_00.

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28. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
    In: Research Paper Series.
    RePEc:uts:rpaper:80.

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29. Getting the most out of a mandatory subordinated debt requirement. (2002). Thomson, James ; Haubrich, Joseph ; Ritchken, Peter ; Fan, Rong.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0214.

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30. Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis. (2002). Zhou, Anjun.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:1:p:35-56.

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31. A Quantum Field Theory Term Structure Model Applied to Hedging. (2002). Baaquie, Belal E. ; Warachka, Mitch ; Srikant, Marakani .
    In: Papers.
    RePEc:arx:papers:cond-mat/0206457.

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32. A family of humped volatility models. (2001). Fabio Mercurio, Juan M. Moraleda, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:7:y:2001:i:2:p:93-116.

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33. Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis. (2001). Pelsser, Antoon ; de Jong, Frank ; Driessen, Joost.
    In: Review of Finance.
    RePEc:oup:revfin:v:5:y:2001:i:3:p:201-237..

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34. On optimal portfolio choice under stochastic interest rates. (2001). lioui, abraham ; Poncet, Patrice .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:11:p:1841-1865.

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35. RECOVERING LOCAL VOLATILITY FUNCTIONS OF FORWARD LIBOR RATES. (2000). Kuan, Grace.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:255.

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36. Interest rate option pricing with volatility humps. (2000). Ritchken, Peter ; Chuang, Iyuan.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:3:y:2000:i:3:p:237-262.

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37. Implied Volatility of Interest Rate Options: An Empirical Investigation of the Market Model.. (2000). Hansen, Charlotte ; Christiansen, Charlotte.
    In: Finance Working Papers.
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38. An analytically tractable interest rate model with humped volatility. (2000). Mercurio, F. ; Moraleda, J. M..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:120:y:2000:i:1:p:205-214.

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39. Volatility forecasting in the framework of the option expiry cycle. (1999). Buckle, Mike ; ap Gwilym, Owain ; Owain Ap Gwilym, Mike Buckle, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:1:p:73-94.

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40. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
    In: Staff Reports.
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41. Currency risk hedging: Futures vs. forward. (1998). lioui, abraham.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:1:p:61-81.

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42. Transformation of Heath?Jarrow?Morton models to Markovian systems. (1997). Chiarella, Carl.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:3:y:1997:i:1:p:1-26.

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43. Is implied correlation worth calculating? Evidence from foreign exchange options and historical data. (1997). Lopez, Jose ; Walter, Christian.
    In: Research Paper.
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44. A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models. (1997). Thurston, David C. ; Sim, Ah Boon, ; Raj, Mahendra.
    In: Journal of Economics and Business.
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45. Pricing American interest rate claims with humped volatility models. (1997). Vorst, Ton ; Moraleda, Juan M. ; Vorst, Ton C. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:21:y:1997:i:8:p:1131-1157.

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46. The Valuation of Interest Rate Derivatives: Empirical Evidence from the Spanish Market. (1996). Vorst, Ton ; Moraleda, Juan M..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19960170.

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47. A Family of Humped Volatility Structures. (1996). Mercurio, Fabio ; Moraleda, Juan M..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19960169.

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48. Options and volatility. (1996). Abken, Peter A. ; Nandi, Saikat.
    In: Economic Review.
    RePEc:fip:fedaer:y:1996:i:dec:p:21-35:n:v.81no3-6.

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49. Transformation of Heath-Jarrow-Morton Models to Markovian Systems. (1995). Chiarella, Carl ; Bhar, Ram.
    In: Working Paper Series.
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50. Empirical tests of two state-variable HJM models. (1995). Ritchken, Peter ; Bliss, Robert R..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:95-13.

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