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~subject:"Option pricing theory"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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Option pricing theory
Yield curve
2,254
Zinsstruktur
2,254
Theorie
680
Theory
680
Risikoprämie
540
Risk premium
540
Estimation
511
Schätzung
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497
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437
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Benth, Fred Espen
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3
Culp, Christopher L.
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Eberlein, Ernst
3
Elliott, Robert J.
3
Filipović, Damir
3
Gourier, Elise
3
Grbac, Zorana
3
Lin, Shih-kuei
3
Lorig, Matthew
3
Nozawa, Yoshio
3
Rebonato, Riccardo
3
Veronesi, Pietro
3
Branger, Nicole
2
Caramellino, Lucia
2
Chen, Jun-Home
2
Chen, Son-nan
2
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2
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2
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Huitema, Robert
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Hull, John
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Ignatieva, Ekaterina
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Lee, Sangki
2
Lian, Yu-Min
2
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Ma, Chaoqun
2
McWalter, Thomas A.
2
Mi, Yanhui
2
Molent, Andrea
2
Necula, Ciprian
2
Ochiai, Natsumi
2
Ohnishi, Masamitsu
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International journal of theoretical and applied finance
15
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15
International journal of financial engineering
12
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9
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8
Review of derivatives research
7
The journal of computational finance
7
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European journal of operational research : EJOR
4
Finance research letters
4
Journal of mathematical finance
4
The journal of futures markets
4
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
3
Insurance / Mathematics & economics
3
International journal of bonds and derivatives
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Journal of financial economics
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Research paper series / Swiss Finance Institute
3
The European journal of finance
3
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2
New methods in fixed income modeling : fixed income modeling
2
Springer eBook Collection / Palgrave Economics & Finance Collection
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Springer ebook collection / Palgrave Economics and Finance Collection 2000 - 2013
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Swiss Finance Institute Research Paper
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ASTIN bulletin : the journal of the International Actuarial Association
1
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ECONIS (ZBW)
205
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1
Explicit caplet implied volatilities for quadratic term-structure models
Lorig, Matthew
;
Suaysom, Natchanon
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014521323
Saved in:
2
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
3
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan
- In:
Algorithmic finance
10
(
2023
)
1/2
,
pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
Saved in:
4
How quantitative easing changes the nature of sovereign risk
Broeders, Dirk
;
Haan, Leo de
;
End, Jan-Willem van den
- In:
Journal of international money and finance
137
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014478081
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5
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
Saved in:
6
The term structure of short selling costs
Weitzner, Gregory
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
6
,
pp. 2125-2161
Persistent link: https://www.econbiz.de/10014445766
Saved in:
7
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
8
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
9
The Q-measure dynamics of forward rates
Rebonato, Riccardo
- In:
Annual review of financial economics
15
(
2023
),
pp. 493-522
Persistent link: https://www.econbiz.de/10014426352
Saved in:
10
A Lévy-Driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions
Shirai, Yoshihiro
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014500194
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