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isPartOf:"The journal of fixed income"
~isPartOf:"Economics letters"
~isPartOf:"The journal of computational finance"
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Search: subject_exact:"Interest rate swap"
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Interest rate derivative
60
Zinsderivat
60
Yield curve
33
Zinsstruktur
33
Theorie
32
Theory
32
Option pricing theory
21
Optionspreistheorie
21
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12
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Rebonato, Riccardo
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Ap Gwilym, Owain
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Joshi, Mark S.
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The journal of fixed income
Economics letters
The journal of computational finance
The journal of futures markets
137
International journal of theoretical and applied finance
33
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
Review of futures markets
18
Applied mathematical finance
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The journal of finance : the journal of the American Finance Association
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Finance and stochastics
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Journal of international financial markets, institutions & money
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The review of financial studies
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Applied financial economics
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Journal of financial economics
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Review of derivatives research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
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Working paper
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
9
NBER working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
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Working paper / National Bureau of Economic Research, Inc.
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Discussion paper / B
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
8
Working papers / The Levy Economics Institute
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Applied economics
7
Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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Journal of economic dynamics & control
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Journal of mathematical finance
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ECONIS (ZBW)
60
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1
Price discovery in US money market benchmarks : LIBOR vs. SOFR
Fassas, Athanasios P.
- In:
Economics letters
204
(
2021
),
pp. 1-3
Persistent link: https://www.econbiz.de/10012607568
Saved in:
2
Interest rate swaps and the transmission mechanism of monetary policy : a quantile connectedness approach
Chatziantoniou, Ioannis
;
Gabauer, David
;
Stenfors, Alexis
- In:
Economics letters
204
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607795
Saved in:
3
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
4
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
5
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
6
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
7
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
8
Banking regulation and the changing geography of off-balance sheet activities
D'Avino, Carmela
- In:
Economics letters
157
(
2017
),
pp. 155-158
Persistent link: https://www.econbiz.de/10011847337
Saved in:
9
The predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
10
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
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