1. P D Adams and S B Wyatt (1987) “Biases in Option Prices: Evidence from the Foreign Currency Option Market” Journal of Banking and Finance, 549–62.
2. K I Amin and R A Jarrow (1991) “Pricing Foreign Currency Options under Stochastic Interest Rates” Journal of International Money and Finance 10, 310–29.
3. S H Babbs (1990a) “The Term Structure of Interest Rates: Stochastic Processes and Contingent Claims” Unpublished PhD Thesis, London University (November 1990).
4. S H Babbs (1990b) “The Valuation of Cross-Currency Interest-Sensitive Claims” unpublished working paper.
5. S H Babbs (1997) “A Family of Ito Process Models for the Term Structure of Interest Rates” in Vasicek and Beyond, L Hughston, ed., London: Risk Publications, 253–271.