ヒース–ジャロー–モートン・フレームワーク
Pozdynyakov, Vladimir I., Heath–Jarrow–Morton model and its application, http://repository.upenn.edu/dissertations/AAI3015358/
Radhakrishnan A. R., An Empirical Study of the Convergence Properties of the Non-recombining HJM Forward Rate Tree in Pricing Interest Rate Derivatives, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=123170
鎌倉コーポレーションのDonald van DeventerによるHeath–Jarrow–Morton型利子率モデル With One Factor and Maturity-Dependent Volatility With One Factor and Rate and Maturity-Dependent Volatility With Two Factors and Rate and Maturity-Dependent Volatility With Three Factors and Rate and Maturity-Dependent Volatility
↑ Musiela and Rutkowski & (2004), p. 394
↑ Newsweek 2009
↑ 具体的にはRitchken–Sankarasubramanianモデル(Ritchken and Sankarasubramanian & (1995))や乾–木島モデル(Inui and Kijima & (1998))などが知られている。
↑ 預金のようなもの。