1. The Market model of interest rate dynamics;Brace;Math. Financ.,1997
2. LIBOR and swap market models and measures;Jamshidian;Financ. Stoch.,1997
3. Closed-form solutions for term structure derivatives with lognormal interest rates;Miltersen;J. Financ.,1997
4. D. Brigo, F. Mercurio, Interest Rate Models – Theory and Practice. With Smile, Inflation and Credit, 2nd ed., Springer, 2007.
5. Modern Pricing of Interest-Rate Derivatives: The Libor Market Model and Beyond;Rebonato,2002