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Jamshidian, f. 1997 ; , `libor and swap market models and measures', finance and stochastics 1, 293--330. jamshidian, f. 1999 ; , `libor market models with semimartingales', manuscript netanalytic limited . joshi, m. & theis, j. 2002 ; , `bounding bermudan swaption in a swap rate market model', quarc working paper . longstaff, f. a., santa-clara, p. & schwartz, e. s. 2001a ; , `the relative valuation of caps and swaptions: theory and empirical evidence', journal of finance lvi 6 ; , 2067--2109. longstaff, f. a., santa-clara, p. & schwartz, e. s. 2001b ; , `throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market', journal of financial economics 62 ; , 39--66. longstaff, f. a. & schwartz, e. s. 2001 ; , `valuing american options by simulation: a simple least squares approach', the review of financial studies 14 ; , 113--147. miltersen, k., sandmann, k. & sondermann, d. 1997 ; , `closed form solutions for term structure derivatives with log-normal interest rates', journal of finance 52, 409--430. protter, p. 1995 ; , stochastic integration and differential equations, springer. rasmussen, n. s. 2002 ; , `efficient control variates for monte-carlo valuation of american options', working paper the aarhus school of business.

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