1. ] show how to construct trinomial trees under doubleplus CIR and CEV models, and jump trees under the double-plus CIR models extended with exponential and lognormal jumps. Beliaeva, Nawalkha, and Soto;Beliaeva Nawalkha;For pricing American interest rate options using low-dimensional models, Nawalkha and Beliaeva,2007
2. Quadratic Term Structure Models: Theory and Evidence;Dong-Hyun Ahn;The Review of Financial Studies,2002
3. Volatility Skews and Extensions of the Libor Market Model;Leif B G Andersen;Applied Mathematical Finance,2000
4. Extended Libor Market Models with Stochastic Volatility;Leif B G Andersen;Journal of Computational Finance,2005