An analytically tractable interest rate model with humped volatility
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- Haitao Li & Xiaoxia Ye, 2013. "A Type of HJM Based Affine Model: Theory and Empirical Evidence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- A. Falco & LL. Navarro & J. Nave, 2010. "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 495-504.
- Bueno-Guerrero, Alberto & Moreno, Manuel & Navas, Javier F., 2016. "The stochastic string model as a unifying theory of the term structure of interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 217-237.
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