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subject:"Interest rate derivative"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Optionspreistheorie"
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Interest rate derivative
Optionspreistheorie
Yield curve
111
Zinsstruktur
111
Theorie
51
Theory
51
Option pricing theory
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
Anleihe
10
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
Geldmarkt
4
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English
51
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Baviera, Roberto
2
Biagini, Francesca
2
Bouchaud, Jean-Philippe
2
Brigo, Damiano
2
Macrina, Andrea
2
Matacz, Andrew
2
Mercurio, Fabio
2
Schmidt, Thorsten
2
Yasuoka, Takashi
2
Akahori, Jirô
1
Almeida, Caio
1
Andresen, Arne
1
Avellaneda, Marco
1
Banerjee, Tamal
1
Belomestny, Denis
1
Benth, Fred Espen
1
Bermin, Hans-Peter
1
Blaskowitz, Olilver
1
Bregman, Julia
1
Brody, Dorje C.
1
Chege Maina, Samuel
1
Chen, An
1
Chiarella, Carl
1
Chu, Chi Chiu
1
Cont, Rama
1
Criens, David
1
Daniluk, Andrzej
1
De Malherbe, Etienne
1
De Marco, Stefano
1
Gach, Florian
1
Genaro, Alan de
1
Ghosh, Mrinal K.
1
Gnoatto, Alessandro
1
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1
Gümbel, Sandrine
1
Han, Xixuan
1
Hanton, Pierre
1
Henrard, Marc
1
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1
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1
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International journal of theoretical and applied finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
37
Journal of banking & finance
29
The journal of fixed income
28
The journal of computational finance
25
Applied mathematical finance
24
The journal of derivatives : the official publication of the International Association of Financial Engineers
24
The journal of futures markets
24
Finance and stochastics
22
Review of derivatives research
19
Quantitative finance
18
Journal of financial economics
14
The journal of finance : the journal of the American Finance Association
14
The review of financial studies
14
International journal of financial engineering
12
Risks : open access journal
11
Asia-Pacific financial markets
10
Discussion paper / B
10
Applied financial economics
9
Journal of mathematical finance
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
The European journal of finance
9
Working paper
9
Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Research paper series / Swiss Finance Institute
8
Finance research letters
7
Insurance / Mathematics & economics
7
Journal of financial and quantitative analysis : JFQA
7
Journal of international money and finance
7
SpringerLink / Bücher
7
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Advances in futures and options research : a research annual
6
European journal of operational research : EJOR
6
SFB 649 discussion paper
6
Annals of finance
5
International review of economics & finance : IREF
5
Journal of economic dynamics & control
5
Journal of empirical finance
5
Journal of international financial markets, institutions & money
5
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ECONIS (ZBW)
51
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1
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
2
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:
3
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:
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
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
6
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:
7
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:
8
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:
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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