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H. Geman, N. Karoui and J. C. Rochet, “Change of Numeraire, Change of Probability Measure and Option Pricing,” Journal of Applied Probability, Vol. 32, No. 2, 1995, pp. 443-458. doi:10.2307/3215299

has been cited by the following article:

• TITLE: On Valuing Constant Maturity Swap Spread Derivatives

  AUTHORS: Leonard Tchuindjo

  KEYWORDS: CMS Spread; Market Model; Brownian Motion; Forward Measure

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.2, May 23, 2012

  ABSTRACT: Motivated by statistical tests on historical data that confirm the normal distribution assumption on the spreads between major constant maturity swap (CMS) indexes, we propose an easy-to-implement two-factor model for valuing CMS spread link instruments, in which each forward CMS spread rate is modeled as a Gaussian process under its relevant measure, and is related to the lognormal martingale process of a corresponding maturity forward LIBOR rate through a Brownian motion. An illustrating example is provided. Closed-form solutions for CMS spread options are derived.