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isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~language:"eng"
~type:"article"
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Yield curve
114
Zinsstruktur
114
Theorie
85
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51
Optionspreistheorie
51
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22
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Chen, Son-nan
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Mathematical finance : an international journal of mathematics, statistics and financial theory
The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of banking & finance
220
The journal of fixed income
140
Journal of international money and finance
117
Journal of financial economics
116
International journal of theoretical and applied finance
111
Journal of money, credit and banking : JMCB
92
International review of economics & finance : IREF
86
Economics letters
85
Applied economics
84
The review of financial studies
84
Finance research letters
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The journal of finance : the journal of the American Finance Association
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Economic modelling
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Journal of monetary economics
72
Journal of empirical finance
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Applied financial economics
68
Journal of economic dynamics & control
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Applied economics letters
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International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
60
Journal of international financial markets, institutions & money
58
The journal of futures markets
58
The North American journal of economics and finance : a journal of financial economics studies
57
Finance and stochastics
51
Journal of econometrics
51
Applied mathematical finance
50
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
The European journal of finance
45
International journal of finance & economics : IJFE
42
Management science : journal of the Institute for Operations Research and the Management Sciences
38
Asia-Pacific financial markets
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Review of finance : journal of the European Finance Association
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Journal of international economics
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Journal of macroeconomics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Review of quantitative finance and accounting
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The American economic review
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ECONIS (ZBW)
114
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1
Interrelations among chross-currency basis swaps spreads: pre- and post-crisis analysis
Ibhagui, Oyakhilome
- In:
The journal of derivatives : the official publication …
26
(
2019
)
4
,
pp. 89-112
Persistent link: https://www.econbiz.de/10012306197
Saved in:
2
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
3
A unified Willow tree framework for one-factor short-rate models
Wang, Guangguang
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 33-54
Persistent link: https://www.econbiz.de/10011941393
Saved in:
4
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Chiang, Mi-Hsiu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
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
A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Lu, Ling
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2017
)
1
,
pp. 37-54
Persistent link: https://www.econbiz.de/10011931521
Saved in:
7
Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates
Siegel, Andrew F.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 919-938
Persistent link: https://www.econbiz.de/10011583812
Saved in:
8
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:
9
Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire
;
Moraux, Franck
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
Saved in:
10
Modeling term structure of default correlation
Suchintabandid, Sira
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
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