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isPartOf:"Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik"
~isPartOf:"Quantitative finance"
~isPartOf:"Selected writings on futures markets : explorations in financial futures markets"
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Interest rate derivative
24
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24
Yield curve
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Option pricing theory
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Weierstraß-Institut für Angewandte Analysis und Stochastik
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
Quantitative finance
Selected writings on futures markets : explorations in financial futures markets
The journal of futures markets
137
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
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International review of financial analysis
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Interest rate futures : concepts and issues
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ECONIS (ZBW)
24
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1
Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre
;
Skovmand, David
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 959-978
Persistent link: https://www.econbiz.de/10014304406
Saved in:
2
VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
Saved in:
3
Bond and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
4
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
Saved in:
5
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
6
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
7
On the American swaption in the linear-rational framework
Filipović, Damir
;
Kitapbayev, Yerkin
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
Saved in:
8
Pricing CMS spreads in the Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, …
-
2008
Persistent link: https://www.econbiz.de/10003809706
Saved in:
9
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John
-
2002
Persistent link: https://www.econbiz.de/10001724376
Saved in:
10
Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure
Schoenmakers, John
(
contributor
);
Coffey, Brian
(
contributor
)
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001544421
Saved in:
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