A new finite difference method for pricing and hedging fixed income derivatives: Comparative analysis and the case of an Asian option. - Allan Jonathan da Silva; Jack Baczynski; José V. M. Vicente (J. Comput. Appl. Math., 2016)

A new method for pricing interest-rate derivatives in fixed income markets. - Jack Baczynski; Juan B. R. Otazu; José V. M. Vicente (CDC, 2017)