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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"CESifo working papers"
~subject:"Swap"
~type_genre:"Aufsatz in Zeitschrift"
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Swap
Yield curve
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Optionspreistheorie
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Aufsatz in Zeitschrift
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Bojarčenko, Svetlana I.
1
Brace, Alan
1
Chen, Nan
1
Choi, Jaehyuk
1
Galluccio, S.
1
Gatarek, Dariusz
1
Huang, Z.
1
Kim, Don H.
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Kou, Steven
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Levendorskij, Sergej Z.
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Ly, J.-M.
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Musiela, Marek
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Pelsser, Antoon André Jean
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
CESifo working papers
International journal of theoretical and applied finance
12
Journal of banking & finance
9
International review of financial analysis
7
The journal of computational finance
7
Journal of financial economics
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
5
Applied mathematical finance
4
International journal of financial engineering
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
The journal of fixed income
4
Finance and stochastics
3
International review of economics & finance : IREF
3
Quantitative finance
3
Review of derivatives research
3
The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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Applied financial economics letters
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Cambridge working papers in economics
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Cambridge-INET working papers
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Economics letters
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Investment management and financial innovations
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Journal of econometrics
2
Journal of mathematical finance
2
Pacific-Basin finance journal
2
Research in international business and finance
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Review of finance : journal of the European Finance Association
2
The review of financial studies
2
Advances in Pacific Basin business, economics and finance
1
Annual review of financial economics
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Applied economics letters
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Applied financial economics
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BIS quarterly review : international banking and financial market developments
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Central Bank review / Central Bank of the Republic of Turkey
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Der Betrieb
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Economic notes : economic review of Banca Monte dei Paschi di Siena
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Ekonomický časopis : časopis pre ekonomickú teóriu, hospodársku politiku, spoločensko-ekonomické prognózovanie
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European financial management : the journal of the European Financial Management Association
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1
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
2
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:
3
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:
4
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
5
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:
6
Theory and calibration of swap market models
Galluccio, S.
;
Ly, J.-M.
;
Huang, Z.
;
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
17
(
2007
)
1
,
pp. 111-141
Persistent link: https://www.econbiz.de/10003543112
Saved in:
7
Pricing swaptions and coupon bond options in affine term structure models
Schrager, David F.
;
Pelsser, Antoon André Jean
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 673-694
Persistent link: https://www.econbiz.de/10003394188
Saved in:
8
The market model of interest rate dynamics
Brace, Alan
- In:
Mathematical finance : an international journal of …
7
(
1997
)
2
,
pp. 127-155
Persistent link: https://www.econbiz.de/10001220280
Saved in:
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