Continuous-time term structure models: Forward measure approach

Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

David Heath, Robert A. Jarrow, A. J. Morton · Econometrica · 1992 · 3.2K citations

Business, Economics, Finance +17

Martingales and stochastic integrals in the theory of continuous trading

J. Michael Harrison, Stanley R. Pliska · Stochastic Processes and their Applications · 1981 · 2.9K citations

Engineering, Finance, Mathematics +14

The Market Model of Interest Rate Dynamics

Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations

Business, Economics, Finance +17

Changes of numéraire, changes of probability measure and option pricing

Hélyette Geman, Nicole El Karoui, Jean‐Charles Rochet · Journal of Applied Probability · 1995 · 809 citations

Business, Finance, Mathematics +15

LIBOR and swap market models and measures

Farshid Jamshidian · Finance and Stochastics · 1997 · 786 citations · Full text

Business, Economics, Finance +11