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source:"econis"
~isPartOf:"Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne"
~subject:"Interest rate derivative"
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Search: subject_exact:"Fristigkeitsstruktur der Zinssätze"
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Interest rate derivative
Yield curve
13
Zinsstruktur
13
Theorie
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Theory
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Zinsderivat
6
Monte Carlo simulation
5
Monte-Carlo-Simulation
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Option pricing theory
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Optionspreistheorie
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Währungsderivat
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Derivat
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Joshi, Mark S.
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Beveridge, Christopher
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
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Applied mathematical finance
9
International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The review of financial studies
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Finance and stochastics
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Interest rate modelling after the financial crisis
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Journal of financial economics
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Applied financial economics
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Journal of mathematical finance
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Quantitative finance
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Discussion paper / B
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International review of financial analysis
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Review of derivatives research
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Advances in futures and options research : a research annual
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Risks : open access journal
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SFB 649 discussion paper
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Economics letters
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European journal of operational research : EJOR
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Journal of financial and quantitative analysis : JFQA
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Journal of international financial markets, institutions & money
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Journal of international money and finance
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / The Levy Economics Institute
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Annual review of financial economics
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Applied economics
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Applied financial economics letters
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Asia-Pacific financial markets
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Bonn Econ Discussion Papers / BGSE
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Kooderive : multi-core graphics cards, the LIBOR market model, least-squares Monte Carlo and the pricing of cancellable swaps
Joshi, Mark S.
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2014
Persistent link: https://www.econbiz.de/10010348823
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2
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
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3
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
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2008
Persistent link: https://www.econbiz.de/10003797794
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4
New and robust drift approximations for the Libor market model
Joshi, Mark S.
(
contributor
);
Stacey, Alan
(
contributor
)
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2006
Persistent link: https://www.econbiz.de/10003297300
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5
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
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2006
Persistent link: https://www.econbiz.de/10003297310
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6
Interpolation schemes in the displaced-diffusion libor market
Beveridge, Christopher
;
Joshi, Mark S.
-
2009
Persistent link: https://www.econbiz.de/10003924341
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