A multi-quality model of interest rates

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Subfields: Finance

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Counterparty Risk and Funding: A Tale of Two Puzzles (2014, methodology): “See Kunita (2010) or Ikeda and Watanabe (1989) for more details and properties.”
Interest Rates and The Credit Crunch: New Formulas and Market Models (2009, unknown): “h=β(t) ρ k,h τ D h σ D h (t)F D h (t) 1 + τ h F D h (t) dt+ σ k (t)F D k (t) dZ d,D k (t) (21)”
LIBOR Market Models with Stochastic Basis (2010, methodology): “In the following, as in Kijima et al. (2009), the pricing measures we will consider are those associated with the discount curve.”