A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives

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One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities

John Hull, Alan White · Journal of Financial and Quantitative Analysis · 1993 · 487 citations

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Analysis of the stability of the linear boundary condition for the Black–Scholes equation

H. Windcliff, Peter Forsyth, K.R. Vetzal · The Journal of Computational Finance · 2004 · 116 citations

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Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms

Karel J. in ’t Hout, Bruno D. Welfert · Applied Numerical Mathematics · 2008 · 106 citations

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Numerical Valuation of Cross-Currency Swaps and Swaptions

M. A. H. Dempster, Joseph Hutton · SSRN Electronic Journal · 1997 · 31 citations · Full text

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