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isPartOf:"The journal of futures markets"
~subject:"Optionspreistheorie"
~subject:"Schätzung"
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Optionspreistheorie
Schätzung
Interest rate derivative
139
Zinsderivat
139
USA
100
United States
96
Public bond
56
Öffentliche Anleihe
56
Theorie
39
Theory
39
Hedging
37
Zins
28
Interest rate
27
Volatility
17
Volatilität
17
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17
Zinsstruktur
17
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16
Derivat
14
Derivative
14
Government securities
14
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Arbitrage
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12
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Option pricing theory
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7
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7
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Einlagengeschäft
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Bali, Turan G.
1
Brace, Alan
1
Chao, Wan-Ling
1
Chen, Son-nan
1
Chen, Yong
1
Chen, Zhanyu
1
Connolly, Michael B.
1
Ederington, Louis H.
1
Gellert, Karol
1
Gurrola, Pedro
1
Herrerías, Renata
1
Kim, Jeong-Hoon
1
Lee, Jae-ha
1
Lee, Yung-Hsin
1
Leung, Kwai S.
1
Liu, Xiaoxi
1
Miao, Daniel Wei-Chung
1
Ng, Hon Y.
1
Schlögl, Erik
1
Su, Tie
1
Tang, Wenjin
1
Upper, Christian
1
Webb, Robert I.
1
Werner, Thomas
1
Wong, Hoi Ying
1
Wu, Tao L.
1
Wu, Ting-pin
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Xie, Jinming
1
Yoon, Ji-Hun
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Yu, Seok-Hyon
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
1
International Conference on Derivatives and Risk Management <2003, Schanghai>
1
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The journal of futures markets
Applied economics
55
Economic modelling
40
NBER working paper series
36
Applied financial economics
35
CESifo working papers
35
NBER Working Paper
35
Working paper / National Bureau of Economic Research, Inc.
32
Journal of international money and finance
30
The North American journal of economics and finance : a journal of financial economics studies
30
International journal of theoretical and applied finance
28
Journal of banking & finance
28
Applied economics letters
27
Discussion paper / Centre for Economic Policy Research
26
International review of economics & finance : IREF
26
Journal of macroeconomics
25
The journal of computational finance
24
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
23
Working paper
23
Discussion paper / Deutsche Bundesbank
20
Finance and economics discussion series
20
Economics letters
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Journal of money, credit and banking : JMCB
17
Discussion paper
15
Insurance / Mathematics & economics
15
International journal of economics and finance
15
International journal of economics and financial issues : IJEFI
15
Quantitative finance
15
Review of derivatives research
15
The empirical economics letters : a monthly international journal of economics
15
Journal of economic dynamics & control
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
Applied mathematical finance
13
Bundesbank Series 1 Discussion Paper
13
Discussion papers / CEPR
13
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
13
Macroeconomic dynamics
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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ECONIS (ZBW)
14
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
A Skellam market model for loan prime rate options
Chen, Zhanyu
;
Zhang, Kai
;
Zhao, Hongbiao
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
Saved in:
3
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
4
An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung
;
Lee, Yung-Hsin
;
Chao, Wan-Ling
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
Saved in:
5
Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Yu, Seok-Hyon
- In:
The journal of futures markets
34
(
2014
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
Saved in:
6
Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L.
- In:
The journal of futures markets
32
(
2012
)
8
,
pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
Saved in:
7
The value of mortgage prepayment and default options
Chen, Yong
;
Connolly, Michael B.
;
Tang, Wenjin
;
Su, Tie
- In:
The journal of futures markets
29
(
2009
)
9
,
pp. 840-861
Persistent link: https://www.econbiz.de/10003900917
Saved in:
8
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
9
Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G.
- In:
The journal of futures markets
20
(
2000
)
8
,
pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
Saved in:
10
Maturity effects in the Mexican interest rate futures market
Gurrola, Pedro
;
Herrerías, Renata
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10008908357
Saved in:
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