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subject:"Optionspreistheorie"
~isPartOf:"Finance and stochastics"
~isPartOf:"Finance research letters"
~isPartOf:"The review of financial studies"
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Optionspreistheorie
Interest rate derivative
33
Zinsderivat
33
Theorie
22
Theory
22
Yield curve
18
Zinsstruktur
18
Option pricing theory
14
Stochastic process
9
Stochastischer Prozess
9
USA
7
United States
7
Volatility
6
Volatilität
6
CAPM
5
Derivat
5
Derivative
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Interest rate
4
Zins
4
Arbitrage Pricing
2
Arbitrage pricing
2
Estimation
2
Martingal
2
Martingale
2
Option trading
2
Optionsgeschäft
2
Repo transactions
2
Repo-Geschäft
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Schätzung
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1975-1987
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1976-1985
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1991-2018
1
1998-1999
1
2000-2005
1
2000-2010
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2001-2010
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Affine processes
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Asset swap
1
Asset-Backed Securities
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English
14
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Arrouy, Pierre-Edouard
1
Azzone, Michele
1
Baviera, Roberto
1
Björk, Tomas
1
Boumezoued, Alexandre
1
Chacko, George
1
Cuchiero, Christa
1
Das, Sanjiv
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldstein, Robert S.
1
Goldys, Beniamin
1
Gombani, Andrea
1
Jamshidian, Farshid
1
Lapeyre, Bernard
1
Mashele, Hopolang Phillip
1
Mehalla, Sophian
1
Musiela, Marek
1
Phillips, Peter C. B.
1
Rutkowski, Marek
1
Sonono, Masimba Energy
1
Vargiolu, Tiziano
1
Yu, Jun
1
Zhao, Xiaoliang
1
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Finance and stochastics
Finance research letters
The review of financial studies
The journal of computational finance
18
International journal of theoretical and applied finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Review of derivatives research
10
Applied mathematical finance
9
International journal of financial engineering
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Advances in futures and options research : a research annual
5
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Quantitative finance
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Risks : open access journal
4
Série de trabalhos para discussão
4
The journal of futures markets
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Global finance journal
3
Journal of financial economics
3
SSE EFI working paper series in economics and finance
3
The journal of finance : the journal of the American Finance Association
3
The journal of fixed income
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Berichte des Fraunhofer ITWM
2
Bonn Econ Discussion Papers / BGSE
2
Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
2
Discussion paper / B
2
Discussion paper / Centre for Economic Policy Research
2
Economic modelling
2
Europäische Hochschulschriften / 5
2
Financial markets and portfolio management
2
Interest rate, term structure, and valuation modeling
2
International Journal of Financial Markets and Derivatives : IJFMD
2
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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
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:
4
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:
5
Jackknifing bond option prices
Phillips, Peter C. B.
;
Yu, Jun
- In:
The review of financial studies
18
(
2005
)
2
,
pp. 707-742
Persistent link: https://www.econbiz.de/10002882119
Saved in:
6
Pricing interest rate derivatives : a general approach
Chacko, George
;
Das, Sanjiv
- In:
The review of financial studies
15
(
2002
)
1
,
pp. 195-241
Persistent link: https://www.econbiz.de/10001639615
Saved in:
7
The term structure of interest rates as a random field
Goldstein, Robert S.
- In:
The review of financial studies
13
(
2000
)
2
,
pp. 365-384
Persistent link: https://www.econbiz.de/10001485504
Saved in:
8
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:
9
Minimal realizations of interest rate models
Björk, Tomas
;
Gombani, Andrea
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
Saved in:
10
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
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