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subject:"Interest rate derivative"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivat"
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Interest rate derivative
Derivat
Yield curve
111
Zinsstruktur
111
Theorie
51
Theory
51
Option pricing theory
40
Optionspreistheorie
40
Stochastic process
26
Stochastischer Prozess
26
Zinsderivat
26
Derivative
25
Volatility
17
Volatilität
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Interest rate
16
Zins
16
Credit risk
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Kreditrisiko
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Risikoprämie
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Risk premium
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Swap
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11
Markov-Kette
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Anleihe
10
Bond
10
Estimation
9
Schätzung
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Portfolio selection
7
Portfolio-Management
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Credit derivative
6
Kreditderivat
6
Capital income
5
Estimation theory
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Hedging
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Baviera, Roberto
2
Bouchaud, Jean-Philippe
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Brigo, Damiano
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Schmidt, Thorsten
2
Andresen, Arne
1
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1
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1
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International journal of theoretical and applied finance
Journal of banking & finance
26
The journal of fixed income
22
The journal of futures markets
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
The journal of computational finance
16
Applied mathematical finance
15
Journal of financial economics
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
13
Review of derivatives research
13
The journal of finance : the journal of the American Finance Association
12
The review of financial studies
11
Finance and stochastics
10
International review of financial analysis
10
International journal of financial engineering
9
Journal of financial and quantitative analysis : JFQA
9
Quantitative finance
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Working paper
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Applied financial economics
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Interest rate modelling after the financial crisis
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Journal of mathematical finance
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NBER Working Paper
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NBER working paper series
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Discussion paper / B
7
Journal of empirical finance
7
Journal of international financial markets, institutions & money
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Advances in futures and options research : a research annual
6
Research paper series / Swiss Finance Institute
6
Risks : open access journal
6
SpringerLink / Bücher
6
The European journal of finance
6
Economics letters
5
European journal of operational research : EJOR
5
Journal of international money and finance
5
Journal of money, credit and banking : JMCB
5
Lecture notes in economics and mathematical systems : LNEMS
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SFB 649 discussion paper
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ECONIS (ZBW)
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1
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
2
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:
3
Inflation, central bank and short-term interest rates : A new model with calibration to market data
Antonacci, Flavia
;
Costantini, Cristina
;
D'Ippoliti, …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012887366
Saved in:
4
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:
5
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
6
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
7
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:
8
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:
9
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
10
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
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