Andrews, A., & Grewal, M. (2008). Kalman Filtering. Theory and Practice Using matlab. New Yersey: John Wiley & Sons.
Angelini, P., Nobili, A., & Picillo, M. (2009). The interbank market after August 2007: what has changed and why? Bank of Italy, Working Papers 731.
Bianchetti, M. (2009). Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves. Risk Magazine.
Bolder, D. (2001). Affine Term-Structure Models: Theory and Implementation. Bank of Canada, Working Papers 15.
Bongaerts, D., Jong F. de, & Driessen J. (2011). Derivative princing with liquidity risk: Theory and evidence from credit default swap market. Journal of Finance, 66, 203-240.
Brigo, D., & Alfonsi, A. (2005). Credit default swap calibration and option pricing with the ssrd stochastic intensity and interest rate model. Finance and Stochastics, IX(1), 29-42.
Brigo, D., & Mercurio, F. (2006). Interest Rate Models - Theory and Practice. Milano: Springer.
Brunnermeier, M., & Pedersen, L. H. (2009). Market liquidity and funding liquidity. Review of Financial Studies, 22, 2201-2238.
Carr, P., & Wu, L. (2007). Theory and Evidence on the Dynamic Interactions Between Sovereign Credit Default Swaps and Currency Options. Journal of Banking and Finance, 31, 2383-2403.
Carr, P., & Wu, L. (2010). Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. Journal of Financial Econometrics, 8(4), 409-449.
Cho-Hoi, H., Chung, T-K., & Chi-Fai L. (2010). Interest rate derivatives Princes to estimate Libor-Ois Spread dynamics and systemic funding liquidity shock probabilities. Hong Kong Monetary Autorithy, Working Papers Series 1004.
Christoffersen, P., Jakobs, K., Karoui, L., & Mimouni, K. (2009). Non-linear filtering in affine term structure models: Evidence from the term structure of swap rates. McGill University, Working paper.
Collin-Dufresn, P., & Solnik, B. (2001). On the term structure of default premia in the swap and libor markets. Journal of Finance, 56, 1095-1116.
Cui, J., In, F., & Maharaj, E. A. (2012). What drives the Libor-Ois spread? From five major currency Libor-Ois spreads. Recuperado de SSRN:http://ssrn.com/ abstract=2173944 or http://dx.doi.org/10.2139/ssrn.2173944
Denault, M., Gauthier, G., & Simonato, J. (2009). Estimation of Physical Intensity Model for Default Risk. The Journal of Futures Markets, 29, 95-113.
Duan, J., & Simonato, J. (1999). Estimating and Testing Exponential-Affine Temr Structure Models by kalman Filter. Review of Quantitative Finance and Accounting, 13(2), 111-135.
Duffie, D., Filipovic, D., & Schachermayer, W. (2003). Affine processes and applications in finance. Annals of Applied Probability, 13, 984-1053.
Duffie, D., & Huang, M. (1996). Swapt rates and credit quality. Journal of Finance, 51, 921-950.
Duffie, D., & Singelton, K. (1997). An econometric model of term structure of interest rate swap yields. Journal of Finance, 52, 1287-1323.
Duffie, D., & Singelton, K. (1999). Modeling term structure of defaultable bonds. Review of Financial Studies, 12, 687-720.
Duffie, D., & Singelton, K. (2003). Credit Risk: Pricing, Measurement and Management. Princeton: Princeton University Press.
Eisenschmidt, J., & Tapking, J. (2009). Liquidity Risk Premia in unsecured Interbank Money Markets. European Central Bank, Working Paper Series, 1025.
Feldhütter, P., & Lando, D. (2008). Decomposing swap spreads. Journal of Financial Economics, 88(2), 375-405.
Filipovic, D., & Trolle, A. (2012). The Term Structure of Interbank Risk. Swiss Finance Institute Research Paper No. 11-34. Filipovic, D. Term Structure Models - A Graduate Course. Viena: Springer.
Fontaine, J., & Garcia, R. (2011). Bond liquidity premia. Bank of Canada, Working Paper 2009-28.
Fujii, M., Shimada, Y., & Takahashi, A. (2009). A market model of interest rates with dynamic spreads in the presence of collateral and multiple currencies. Shinsei Bank and University of Tokyo, Working paper CIRJE-F-698.
Guarin, A., Liu, X., & Ng, W-L. (2014). Recovering default risk from cds spreads with a nonlinear filter. Journal of Economic Dynamics and Control, 38, 87-104.
Iacus, S. (2008). Simulation and Inference for Stochastic Differential Equations. Milano: Springer.
Jeanblanc, M., Yor M., & Chesney M. (2009). Mathematical Methods for Financial Markets. Londres: Springer.
Johannes, M., & Sundaresan, S. (2007). The impact of Collateralization on Swap Rates. Journal of Finance, 62(1), 383-410.
Julier, S., & Uhlmann, J. (2004). Unscented Filtering and Nonlinear Estimation. Proceedings of the IEEE, 92(3).
Lando D. (2004). Credit risk modeling: Theory and Applications. Princeton: Princeton University Press.
Liu J., Longstaff F., & Mandell R. (2006). The market price of risk in interest rate swaps: The roles of default and liquidity risks. Journal of Business, 79, 2337-2359.
McAndrews J., Sarkar A., & Wang Z. (2008). The effect of the term auction facility on the London Inter-Bank Offered Rate. Federal Reserve Bank of New York, Working paper 335.
Mercurio, F. (2009). Interest rates and the credit crunch. New formulas and market models. Bloomberg, Working paper 2010-01.
Michaud F.-L., & Upper C. (2008). What drives interbank rates? Evidence from the Libor panel. BIS Quarterly Review, marzo, 47-58.
Platen E., & Bruti-Liberati N. (2010). Numerical Solution of Stochastic Differential Equations with Jumps. Londres: Springer.
Schwartz K. (2010). Mind the gap: disentangling credit and liquidity in risk spreads. The Wharton School, University of Pennsylvania, Working paper.
Taylor J. B., & Williams J. C. (2009). A black swan in the money market. American Economic Journal, Macroeconomics, 1, 58-83.
Varona, J. L. (1991). Métodos clásicos de resolución de ecuaciones diferenciales ordinarias. Logroño: Universidad de la Rioja.
Wan E., & van der Merwe R. (2000). The Unscented Kalman Filter for Nonlinear Estimation. Proceedings of Symposium 2000 on Adaptive Systems for Signal Processing, Communication and Control (AS-SPCC).
Wu T. (2008). On the Effectiveness of the Federal Reserve’s New Liquidity Facilities. Federal Reserve Bank of Dallas, Working Papers 0808.
Zhou R. (2008) Bond Implied cds Spread and cds-Bond Basis. Recuperado de SSRN:http://ssrn.com/abstract=1265548
