Stochastic Processes and their Applications · 2006 · 22 citations · 14 references
EngineeringComputer ScienceMathematicsDiscrete MathematicsStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesNumerical AlgorithmsSignal ProcessingStochastic Differential EquationsDiffusionsDiscretization Of Partial Differential EquationsMarkov Diffusion ProcessesNumerical DiffusionNumerical Discretization
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A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Stochastic volatility : selected readings
Neil Shephard · RePEc: Research Papers in Economics · 2005 · 335 citations