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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~subject:"Derivative"
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Derivative
Yield curve
129
Zinsstruktur
129
Theorie
91
Theory
91
Option pricing theory
37
Optionspreistheorie
37
USA
27
United States
27
Volatility
19
Volatilität
19
Estimation
17
Schätzung
17
Stochastic process
14
Stochastischer Prozess
14
CAPM
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Interest rate derivative
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Zinsderivat
13
Swap
12
Derivat
11
Risikoprämie
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Risk premium
11
Capital income
9
Credit risk
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Kapitaleinkommen
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Kreditrisiko
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Credit derivative
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Portfolio selection
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Portfolio-Management
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Zero-Bond
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Zero-coupon bond
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11
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Driessen, Joost
1
Goldammer, Verena
1
Gombani, Andrea
1
Hull, John
1
Jarrow, Robert A.
1
Jiang, George J.
1
Jong, Frank de
1
Kardaras, Constantinos
1
Klaassen, Pieter
1
Levendorskij, Sergej Z.
1
Li, Libo
1
Melenberg, Bertrand
1
Peterson, Sandra
1
Platen, Eckhard
1
Runggaldier, Wolfgang J.
1
Rutkowski, Marek
1
Santa-Clara, Pedro
1
Schmock, Uwe
1
Stapleton, Richard C.
1
Subrahmanyam, Marti G.
1
White, Alan
1
Yildirim, Yildiray
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Journal of financial and quantitative analysis : JFQA
International journal of theoretical and applied finance
25
Journal of banking & finance
15
Applied mathematical finance
10
Review of derivatives research
10
Journal of financial economics
9
The journal of fixed income
9
The journal of futures markets
9
The journal of computational finance
8
Quantitative finance
7
International review of financial analysis
5
Journal of empirical finance
5
NBER Working Paper
5
NBER working paper series
5
The European journal of finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Journal of mathematical finance
4
Journal of money, credit and banking : JMCB
4
Lecture notes in economics and mathematical systems : LNEMS
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Research paper series / Swiss Finance Institute
4
SpringerLink / Bücher
4
Working paper
4
Annual review of financial economics
3
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
3
Discussion paper / Centre for Economic Policy Research
3
Discussion paper / Tinbergen Institute
3
European journal of operational research : EJOR
3
Finance and economics discussion series
3
Finance and stochastics
3
Journal of international financial markets, institutions & money
3
Lecture Notes in Economics and Mathematical Systems
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
The journal of real estate finance and economics
3
Williams College Economics Department working paper series
3
Working paper / National Bureau of Economic Research, Inc.
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Advances in futures and options research : a research annual
2
Applied economics letters
2
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1
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:
2
Arbitrage-free multifactor term structure models : a theory based on stochastic control
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 659-686
Persistent link: https://www.econbiz.de/10010187681
Saved in:
3
Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
Goldammer, Verena
;
Schmock, Uwe
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 185-213
Persistent link: https://www.econbiz.de/10009554684
Saved in:
4
On the Dybvig-Ingersoll-Ross theorem
Kardaras, Constantinos
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 729-740
Persistent link: https://www.econbiz.de/10009614938
Saved in:
5
Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
Saved in:
6
A multifactor spot rate model for the pricing of interest rate derivatives
Peterson, Sandra
;
Stapleton, Richard C.
;
Subrahmanyam, …
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
4
,
pp. 847-880
Persistent link: https://www.econbiz.de/10001859311
Saved in:
7
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
Driessen, Joost
;
Klaassen, Pieter
;
Melenberg, Bertrand
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
3
,
pp. 635-672
Persistent link: https://www.econbiz.de/10001794047
Saved in:
8
Pricing treasury inflation protected securities and related derivatives using an HJM model
Jarrow, Robert A.
;
Yildirim, Yildiray
- In:
Journal of financial and quantitative analysis : JFQA
38
(
2003
)
2
,
pp. 337-356
Persistent link: https://www.econbiz.de/10001766868
Saved in:
9
The dynamics of the forward interest rate curve : a formulation with state variables
Jong, Frank de
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
34
(
1999
)
1
,
pp. 131-157
Persistent link: https://www.econbiz.de/10001436356
Saved in:
10
Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities
Jiang, George J.
- In:
Journal of financial and quantitative analysis : JFQA
33
(
1998
)
4
,
pp. 465-497
Persistent link: https://www.econbiz.de/10001256376
Saved in:
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