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isPartOf:"Review of derivatives research"
~isPartOf:"International journal of financial engineering"
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Search: subject_exact:"Interest rate option"
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Interest rate derivative
22
Zinsderivat
22
Option pricing theory
19
Optionspreistheorie
19
Yield curve
15
Zinsstruktur
15
Theorie
8
Theory
8
Derivat
5
Derivative
5
Swap
5
Interest rate
4
LIBOR market model
4
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square-root process
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Mi, Yanhui
2
Ritchken, Peter H.
2
Zhong, Yangfan
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Clewlow, Les
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Review of derivatives research
International journal of financial engineering
The journal of futures markets
135
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
The journal of computational finance
22
Review of futures markets
18
Applied mathematical finance
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The journal of finance : the journal of the American Finance Association
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Economics letters
8
Quantitative finance
8
The European journal of finance
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Die Bank
6
European journal of operational research : EJOR
6
Global finance journal
6
Advances in Pacific Basin financial markets
5
International review of economics & finance : IREF
5
Journal of empirical finance
5
Journal of international money and finance
5
Quarterly bulletin / Bank of England
5
Research in finance
5
Risks : open access journal
5
The journal of business : B
5
The journal of financial research
5
Advances in investment analysis and portfolio management : a research annual
4
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ECONIS (ZBW)
22
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1
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22
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1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Jarrow, Robert A.
;
Li, Siguang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014266351
Saved in:
3
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
4
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
5
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
6
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
7
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
8
Profitability patterns in the interest rate derivatives market
Meyer, Ralf
- In:
Review of derivatives research
20
(
2017
)
3
,
pp. 231-254
Persistent link: https://www.econbiz.de/10011936002
Saved in:
9
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
10
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
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