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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"CESifo working papers"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Credit spread"
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Volatility
Yield curve
106
Zinsstruktur
106
Theorie
75
Theory
75
Option pricing theory
34
Optionspreistheorie
34
Volatilität
13
Stochastic process
12
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12
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11
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11
CAPM
9
Interest rate derivative
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Afonso, António
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Carverhill, Andrew
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Chen, Nan
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Cheng, Peng
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Choi, Jaehyuk
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Cotton, Peter
1
Fouque, Jean-Pierre
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Frachot, Antoine
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Papapantoleon, Antonis
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Scaillet, Olivier
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Mathematical finance : an international journal of mathematics, statistics and financial theory
CESifo working papers
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of banking & finance
24
The journal of futures markets
23
International journal of theoretical and applied finance
17
Journal of financial economics
15
The review of financial studies
13
Journal of empirical finance
12
Economic modelling
11
Journal of international money and finance
11
Finance research letters
10
The North American journal of economics and finance : a journal of financial economics studies
10
The journal of fixed income
10
Economics letters
9
Journal of financial and quantitative analysis : JFQA
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Quantitative finance
9
Applied financial economics
8
Applied mathematical finance
8
Energy economics
7
Journal of econometrics
7
The journal of computational finance
7
The journal of finance : the journal of the American Finance Association
7
International review of economics & finance : IREF
6
International review of financial analysis
6
Journal of international financial markets, institutions & money
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Asia-Pacific financial markets
5
Finance and stochastics
5
International journal of forecasting
5
Journal of money, credit and banking : JMCB
5
Macroeconomics and finance in emerging market economies
5
Review of derivatives research
5
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
5
Applied economics
4
Emerging markets, finance and trade : EMFT
4
Journal of economics & business
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of risk and financial management : JRFM
4
Research in international business and finance
4
The European journal of finance
4
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ECONIS (ZBW)
13
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1
Economic volatility and sovereign yields' determinants : a time-varying approach
Afonso, António
;
Jalles, João Tovar
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
2
,
pp. 427-451
Persistent link: https://www.econbiz.de/10012219023
Saved in:
2
On the pricing of overnight market risk
Perras, Patrizia Julia
;
Wagner, Niklas F.
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
3
,
pp. 1307-1327
Persistent link: https://www.econbiz.de/10012285567
Saved in:
3
Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato
- In:
Empirical economics : a journal of the Institute for …
57
(
2019
)
1
,
pp. 79-104
Persistent link: https://www.econbiz.de/10012052257
Saved in:
4
Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk
;
Shin, Sungchan
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 962-982
Persistent link: https://www.econbiz.de/10011583816
Saved in:
5
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
6
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
7
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan
;
Kou, Steven
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
Saved in:
8
Term structures of implied volatilites : absence of arbitrage and existence results
Schweizer, Martin
;
Wissel, Johannes
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 77-114
Persistent link: https://www.econbiz.de/10003643469
Saved in:
9
Linear-quadratic jump-diffusion modeling
Cheng, Peng
;
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 575-598
Persistent link: https://www.econbiz.de/10003626612
Saved in:
10
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
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