Solving SABR in Exact Form and Unifying it with LIBOR Market Model

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

The pricing of commodity contracts

Fischer Black · Journal of Financial Economics · 1976 · 2.9K citations

Social Sciences, Contract Law, Economics +8

The Market Model of Interest Rate Dynamics

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

Business, Economics, Finance +17

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 1.2K citations

Business, Economics, Finance +12

Volatility skews and extensions of the Libor market model

Leif B. G. Andersen, Jesper Andreasen · Applied Mathematical Finance · 2000 · 257 citations

Business, Economics, Asset Pricing +16