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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Discussion papers / CEPR"
~isPartOf:"International review of financial analysis"
~subject:"Swap"
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Search: subject_exact:"Credit spread"
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Swap
Yield curve
191
Zinsstruktur
191
Theorie
99
Theory
99
Risikoprämie
41
Risk premium
41
Option pricing theory
36
Optionspreistheorie
36
Credit risk
33
Kreditrisiko
33
Estimation
27
Schätzung
27
Geldpolitik
26
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25
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Batten, Jonathan A.
4
Augustin, Patrick
1
Azad, A. S. M. Sohel
1
Bojarčenko, Svetlana I.
1
Brace, Alan
1
Chen, Nan
1
Chernov, Mikhail
1
Choi, Jaehyuk
1
David-Pur, Lior
1
Fang, Victor
1
Galil, Koresh
1
Galluccio, S.
1
Gatarek, Dariusz
1
He, Jie-Cao
1
Hogan, Warren Pat
1
Hsieh, Chang-Chieh
1
Huang, Z.
1
Huang, Zi-Wei
1
Kalemanova, Anna
1
Kim, Don H.
1
Kou, Steven
1
Levendorskij, Sergej Z.
1
Li, Libo
1
Lin, Shih-kuei
1
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1
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1
Musiela, Marek
1
Obayashi, Yoshiki
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Pelsser, Antoon André Jean
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1
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1
Scaillet, Olivier
1
Schmid, Bernd
1
Schmid, Lukas
1
Schrager, David F.
1
Shin, Sungchan
1
Song, Dongho
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Discussion papers / CEPR
International review of financial analysis
International journal of theoretical and applied finance
12
Journal of banking & finance
9
The journal of computational finance
7
Research paper series / Swiss Finance Institute
6
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
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Working papers / The Levy Economics Institute
4
Finance and stochastics
3
HKIMR working paper
3
International review of economics & finance : IREF
3
NBER Working Paper
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NBER working paper series
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Quantitative finance
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Review of derivatives research
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Staff working papers / Bank of England
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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 finance : the journal of the American Finance Association
3
Working papers / Bank for International Settlements
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Applied financial economics letters
2
Cambridge working papers in economics
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Cambridge-INET working papers
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Danmarks Nationalbank working papers
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Discussion paper / Tinbergen Institute
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Europäische Hochschulschriften / 5
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Harvard Business School Finance Case
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Investment management and financial innovations
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Journal of econometrics
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Journal of mathematical finance
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Pacific-Basin finance journal
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Research in international business and finance
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ECONIS (ZBW)
17
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1
Valuation of callable range accrual linked to CMS Spread under generalized swap market model
He, Jie-Cao
;
Hsieh, Chang-Chieh
;
Huang, Zi-Wei
;
Lin, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468776
Saved in:
2
The dynamics of sovereign yields over swap rates in the Eurozone market
David-Pur, Lior
;
Galil, Koresh
;
Rosenboim, Mosi
- In:
International review of financial analysis
72
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012437221
Saved in:
3
The term structure of government debt uncertainty
Mele, Antonio
;
Obayashi, Yoshiki
;
Yang, Shihao
-
2019
Persistent link: https://www.econbiz.de/10012181125
Saved in:
4
Benchmark interest rates when the government is risky
Augustin, Patrick
;
Chernov, Mikhail
;
Schmid, Lukas
; …
-
2019
Persistent link: https://www.econbiz.de/10012205741
Saved in:
5
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:
6
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:
7
What determines the yen swap spread?
Azad, A. S. M. Sohel
;
Batten, Jonathan A.
;
Fang, Victor
- In:
International review of financial analysis
40
(
2015
),
pp. 1-13
Persistent link: https://www.econbiz.de/10011475583
Saved in:
8
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:
9
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:
10
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:
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