N. Anderson, F. Breedon, M. Deacon, A. Derry, and G. , Murphy Estimating and Interpreting the Yield Curve J. Wiley & sons, p.91, 1996.

T. Björk, Y. Kabanov, and W. , Runggaldier Bond Market Structure in the Presence of Marked Point Processes preprint Univ, 1996.

F. Black, E. Derman, and W. , Toy A one-factor model of interest rates and its application to Treasury Bond options Financial Analist Journal, pp.33-39, 1990.

A. Brace, D. Gatarek, and M. , Musiela The market model of interest rate dynamics Preprint Univ, 1995.

A. Brace and M. , A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON, Mathematical Finance, vol.47, issue.3, pp.259-283, 1994.
DOI : 10.2307/2328284

F. Black and M. , Scholes The pricing of Options and Corporate Liabilities, J. of Polit. Economy, vol.81, pp.635-654, 1973.

D. Bricio-, Hernandez Lectures on Probability and Second Order Random Fields World Scienti?c, Series on Adv. in Math. for Appl. Sci, vol.30, 1995.

D. Brigo and F. , Mercurio Interest Rate Models: Theory and Practice, 2006.
DOI : 10.1007/978-3-662-04553-4

T. Cherif, N. Karoui, R. Myneni, and R. , Viswanathan Arbitrage pricing and hedging of quanto options and interest rate claims with quadratic Gaussian state variables Preprint, Lab. of proba, 1995.

J. C. Cox, J. E. Ingersoll, and S. A. , Ross A theory of the term structure of interest rates Econometrica, p.53, 1985.

R. A. Dana and M. , Jeanblanc-Piqué Marchés ?nanciers en temps continu Economica, coll. Recherche en Gestion, English Financial Markets in Continuous Time Springer Finance, 1994.

G. Da-prato and J. , Zapczyk Stochastic equations in in?nite dimensions, 1992.

R. Douady, A Fourier-log Analysis of US Euro-dollar Futures Working paper, 1997.

D. Du¢-e and R. Kan, A yield-factor model of interest rates Preprint Stanford Univ, 1993.

N. Karoui and P. Durand, Quadratic Gaussian Model of Interest Rates and, 1997.

N. Karoui and V. , Lacoste Multifactor model of the term structure of interest rates, 1992.

N. Karoui, R. Myneni, and R. , Visnawathan Arbitrage pricing and hedging of interest rate claim with state variables, 1992.

A. Frachot, D. Janci, and V. , Lacoste Factor analysis of the term structure: a probabilistic approach Preprint, 1992.

V. Genon-catalot and J. , Jacod On the estimation of the di¤ usion coef?cients for multidimensional di¤ usion processes Annales de l'I, pp.29-119, 1993.

D. Heath, R. Jarrow, and A. , Morton Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation Econometrica, pp.60-77, 1992.

T. S. Ho and S. B. , Lee Term structure movements and pricing interest rate contingent claims J. of Finance, pp.1011-1029, 1986.
DOI : 10.2307/2328161

J. Hull and A. , White Pricing interest rate derivatives The Review of Financial Studies, pp.573-592, 1990.

R. Litterman and J. , Scheinkman Common factors a¤ ecting bond returns Technical Report 62, Goldman-Sachs Financial Strategies Group, septembre, 1988.

F. Longsta¤ and . Schwartz, Interest rate volatility and the term structure: a two factor general equilibrium model, Journal of Finance, pp.47-1259, 1992.

R. Merton, Theory of Rational Option Pricing Bell Journal of Economics and Management Science, pp.141-183, 1973.

K. Miltersen, K. Sandmann, and D. , Sondermann Closed form solutions for the term structure derivatives with log-normal interest rates Preprint Univ, 1994.

M. Musiela and D. , Sondermann Di¤ erent Dynamical Speci?cations of the Term Structure of Interest Rates and their Implications Preprint Univ, 1994.

M. Musiela and M. , Rutkowski Martingale Methods in Financial Modeling 2, 2005.

M. Musiela and M. , Rutkowski Continuous-time Term Structure Models Preprint Univ, 1996.

W. Press, S. Teukolsky, W. Vettering, and B. , Flannery Numerical recipes in C 2, 1992.

S. Schaefer and E. S. Schwartz, A Two-Factor Model of the Term Structure: An Approximate Analytical Solution, The Journal of Financial and Quantitative Analysis, vol.19, issue.4, pp.413-424, 1984.
DOI : 10.2307/2330783

M. Yor, Existence et unicité de di¤ usions à valeur dans un espace de Hilbert Annales, pp.55-58, 1974.

M. Yor, Sur les intégrales stochastiques à valeur dans un espace de, Banach Annales I.H.P, vol.X, issue.1, pp.31-36, 1974.