Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates

Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
A positive interest rate model with sticky barrier
Term structure models and the zero bound: an empirical investigation of Japanese yields
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Pricing options under stochastic interest rates: a new approach

The valuation of options on foreign exchange rate in a target zone
THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
A two-factor model for low interest rate regimes
Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
On the transition densities for reflected diffusions
A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility
Large deviations for the boundary local time of doubly reflected Brownian motion
Large deviations for the extended Heston model: the large-time case
On the transition density and first hitting time distributions of the doubly skewed CIR process
A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
Evaluating callable and putable bonds: an eigenfunction expansion approach
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
On the conditional default probability in a regulated market with jump risk
A positive interest rate model with sticky barrier
Some integral functionals of reflected SDEs and their applications in finance
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
A term structure interest rate model with the Brownian bridge lower bound
Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
Staying at zero with affine processes: an application to term structure modelling
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
The spectral representation of Bessel processes with constant drift: applications in queueing and finance
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
A simple trinomial lattice approach for the skew-extended CIR models
Term structure models and the zero bound: an empirical investigation of Japanese yields
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
SELF EXCITING THRESHOLD INTEREST RATES MODELS
Investment under uncertainty with a zero lower bound on interest rates
Option pricing in a one-dimensional affine term structure model via spectral representations
Mean-variance portfolio selection in a complete market with unbounded random coefficients
Optimal stopping in infinite horizon: an eigenfunction expansion approach
Time-changed CIR default intensities with two-sided mean-reverting jumps
The Gibbs sampler with particle efficient importance sampling for state-space models
Skew Ornstein-Uhlenbeck processes and their financial applications
A multi-quality model of interest rates