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subject:"Interest rate derivative"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Anleihe"
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Interest rate derivative
Anleihe
Yield curve
111
Zinsstruktur
111
Theorie
51
Theory
51
Option pricing theory
40
Optionspreistheorie
40
Stochastic process
26
Stochastischer Prozess
26
Zinsderivat
26
Derivat
25
Derivative
25
Volatility
17
Volatilität
17
Interest rate
16
Zins
16
Credit risk
15
Kreditrisiko
15
Risikoprämie
12
Risk premium
12
Swap
12
CAPM
11
Markov chain
11
Markov-Kette
11
Bond
10
Estimation
9
Schätzung
9
Portfolio selection
7
Portfolio-Management
7
Credit derivative
6
Kreditderivat
6
Capital income
5
Estimation theory
5
Hedging
5
Kapitaleinkommen
5
Schätztheorie
5
Credit
4
Forecasting model
4
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English
34
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Baviera, Roberto
2
Bouchaud, Jean-Philippe
2
Matacz, Andrew
2
Rebonato, Riccardo
2
Andresen, Arne
1
Avellaneda, Marco
1
Belomestny, Denis
1
Benth, Fred Espen
1
Biagini, Francesca
1
Blaskowitz, Olilver
1
Bregman, Julia
1
Brigo, Damiano
1
Brody, Dorje C.
1
Cont, Rama
1
Criens, David
1
De Malherbe, Etienne
1
El Qalli, Yassine
1
Elliott, Robert J.
1
Gach, Florian
1
Genaro, Alan de
1
Gnoatto, Alessandro
1
Gogala, Jaka
1
Hanton, Pierre
1
Henrard, Marc
1
Herwartz, Helmut
1
Hess, Markus
1
Hughston, Lane P.
1
Hunter, William Curt
1
Ito, Sumito
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Jaimungal, Sebastian
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1
Kolodko, Anastasia
1
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International journal of theoretical and applied finance
The journal of fixed income
30
Journal of banking & finance
28
NBER working paper series
18
Journal of international money and finance
17
Finance research letters
16
Journal of financial economics
16
The journal of computational finance
16
The journal of futures markets
16
The review of financial studies
16
Management science : journal of the Institute for Operations Research and the Management Sciences
14
The journal of finance : the journal of the American Finance Association
14
Applied mathematical finance
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
International review of economics & finance : IREF
12
International review of financial analysis
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Working paper
12
Working paper / National Bureau of Economic Research, Inc.
12
Applied financial economics
11
Finance and stochastics
11
International journal of financial engineering
11
NBER Working Paper
10
Quantitative finance
10
Working papers series / Federal Reserve Bank of San Francisco
10
Discussion papers / CEPR
9
Journal of economic dynamics & control
9
Journal of financial and quantitative analysis : JFQA
9
Journal of international financial markets, institutions & money
9
Review of derivatives research
9
Working papers / The Levy Economics Institute
9
Economic modelling
8
Economics letters
8
Emerging markets, finance and trade : EMFT
8
Interest rate modelling after the financial crisis
8
Journal of mathematical finance
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
Research paper series / Swiss Finance Institute
8
Risks : open access journal
8
Staff reports / Federal Reserve Bank of New York
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ECONIS (ZBW)
34
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1
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
4
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
5
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
6
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
7
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Saved in:
8
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
9
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
10
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
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