Scenario Simulation: Theory and methodology. - Farshid Jamshidian; Yu Zhu (Finance Stochastics, 1996)

LIBOR and swap market models and measures. - Farshid Jamshidian (Finance Stochastics, 1997)

Valuation of credit default swaps and swaptions. - Farshid Jamshidian (Finance Stochastics, 2004)