Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes. - Ernst Eberlein; Zorana Grbac; Thorsten Schmidt (SIAM J. Financial Math., 2013)

Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. - Zorana Grbac; Antonis Papapantoleon; John Schoenmakers; David Skovmand (SIAM J. Financial Math., 2015)