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~isPartOf:"International journal of financial engineering"
~isPartOf:"Journal of mathematical finance"
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Interest rate derivative
12
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12
Zinsderivat
12
Zinsstruktur
12
Option pricing theory
11
Optionspreistheorie
11
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4
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Mi, Yanhui
2
Zhong, Yangfan
2
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Duedahl, Sindre
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Fuji, Masaaki
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Giribone, Pier Giuseppe
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Pan, Jian
1
Takahashi, Akihiko
1
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1
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International journal of financial engineering
Journal of mathematical finance
International journal of theoretical and applied finance
8
The journal of futures markets
8
Quantitative finance
7
Applied mathematical finance
6
International review of financial analysis
6
Journal of banking & finance
5
SpringerLink / Bücher
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4
Review of derivatives research
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of computational finance
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Economics letters
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European journal of operational research : EJOR
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Research paper series / Swiss Finance Institute
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Discussion paper / Centre for Economic Policy Research
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Economic modelling
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Finance and stochastics
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International Journal of Financial Markets and Derivatives : IJFMD
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Journal of economic issues
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Journal of international financial markets, institutions & money
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Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
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Macroeconomics and finance in emerging market economies
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ECONIS (ZBW)
12
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1
Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model
Wamwea, Charity
;
Ngare, Philip
;
Bidima, Martin Le Doux Mbele
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 698-725
Persistent link: https://www.econbiz.de/10012433485
Saved in:
2
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
3
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
4
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
5
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
6
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
7
Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
Saved in:
8
Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 401-415
Persistent link: https://www.econbiz.de/10011583529
Saved in:
9
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
10
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
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