[1]
|
O. Vasiçek,“An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, No. 2, 1977, pp. 177-188. doi:10.1016/0304-405X(77)90016-2
|
[2]
|
T. Björk, “Arbitrage Theory in Continuous Time,” 2nd edition., Oxford University Press, Oxford, 2004. doi:10.1093/0199271267.001.0001
|
[3]
|
J. Cox, J. Ingersoll and S. Ross, “A Theory of the Te Structure of Interest Rate,” Econometrica, Vol. 53, No. 2, 1985, pp. 385-408. doi: 10.2307/1911242
|
[4]
|
D. Heath, R. Jarrow and A. Morton, “Bond Pricing and the Term Structure of Interest Rates,” Eco-nometrica, Vol. 60, No. 1, 1992, pp. 77-106. doi:10.2307/2951677
|
[5]
|
T. Ho and S. Lee, “Term Structure Movements and Pricing Interest Rate Contingent Claims,” The Journal of Finance, Vol. 41, No. 5, 1986, pp. 1011-1029. doi:10.1111/j.1540-6261.1986.tb02528.x
|
[6]
|
J. Hull and A. White, “Pricing Interest-rate-derivative Securities,” Review Financial Studies, Vol. 3, No. 4, 1990, pp. 573-592. doi:10.1093/rfs/3.4.573
|
[7]
|
A. Pelsser, “Efficient Methods for Valuing Interest Rate Derivatives,” Springer, London, 2000. doi:10.1007/978-1-4471-3888-4
|
[8]
|
T. Fujita, “Introduction to the Stochastic Analysis for Financial Derivatives (Finance No Kakuritsu-Kaiseki Nyumon),” Kodan-shya, Tokyo, Japanese. 2002
|
[9]
|
T. Fujita, N. Ishimura and N. Kawai, “Discrete Stochastic Calculus and Its Applications: An Expository Note,” Advances in Mathematics Economics, Vol. 16, 2012, pp. 119-131. doi:10.1007/978-4-431-54114-1_6
|
[10]
|
T. Fujita and Y. Kawanishi, “A Proof of ItÔ’s Formula Using a Discrete ItÔ’s Formula,” Stud. Scienti. Math. Hungarica, Vol. 45, 2008, pp. 125-134.
|
[11]
|
A. V. Mel’nikov, “Financial Markets,” American Mathematical Society, Providence, 1999.
|