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subject:"Optionspreistheorie"
~isPartOf:"Finance and stochastics"
~isPartOf:"Finance research letters"
~isPartOf:"The journal of fixed income"
~subject:"Volatility"
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Optionspreistheorie
Volatility
Interest rate derivative
47
Zinsderivat
47
Theorie
30
Theory
30
Yield curve
23
Zinsstruktur
23
Option pricing theory
14
USA
10
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Volatilität
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Stochastischer Prozess
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Derivat
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English
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Ho, Thomas S. Y.
2
Arrouy, Pierre-Edouard
1
Azzone, Michele
1
Baba, Naohiko
1
Barski, Michał
1
Baviera, Roberto
1
Björk, Tomas
1
Boumezoued, Alexandre
1
Chowdhury, Muinul
1
Clewlow, Les
1
Cuchiero, Christa
1
Dharan, Venkat G.
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldys, Beniamin
1
Gombani, Andrea
1
Hattori, Takahiro
1
Hull, John
1
Jamshidian, Farshid
1
Lapeyre, Bernard
1
Mashele, Hopolang Phillip
1
Mehalla, Sophian
1
Musiela, Marek
1
Rutkowski, Marek
1
Sonono, Masimba Energy
1
Strickland, Chris
1
Stutzer, Michael J.
1
Vargiolu, Tiziano
1
White, Alan
1
Yi, Sang-bin
1
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1
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Finance and stochastics
Finance research letters
The journal of fixed income
International journal of theoretical and applied finance
19
The journal of computational finance
19
The journal of futures markets
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Applied mathematical finance
11
Review of derivatives research
10
International journal of financial engineering
9
Journal of banking & finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
The European journal of finance
6
Advances in futures and options research : a research annual
5
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Quantitative finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
SSE EFI working paper series in economics and finance
5
The journal of finance : the journal of the American Finance Association
5
The review of financial studies
5
Advances in Pacific Basin financial markets
4
European journal of operational research : EJOR
4
International review of financial analysis
4
Journal of financial economics
4
Journal of mathematical finance
4
Risks : open access journal
4
Série de trabalhos para discussão
4
Advances in investment analysis and portfolio management : a research annual
3
Applied economics
3
Discussion paper / Tinbergen Institute
3
Economic modelling
3
Global finance journal
3
International review of finance
3
Research paper series / Swiss Finance Institute
3
Review of futures markets
3
SFB 649 discussion paper
3
SpringerLink / Bücher
3
Working paper
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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ECONIS (ZBW)
20
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1
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
2
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
3
The predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
4
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
5
Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy
;
Mashele, Hopolang Phillip
- In:
Finance research letters
19
(
2016
),
pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
Saved in:
6
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
7
Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
Saved in:
8
Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y.
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
Saved in:
9
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
10
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
Saved in:
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