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subject:"Optionspreistheorie"
~isPartOf:"Finance and stochastics"
~isPartOf:"Finance research letters"
~subject:"Volatility"
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Optionspreistheorie
Volatility
Interest rate derivative
18
Zinsderivat
18
Theorie
13
Theory
13
Option pricing theory
11
Yield curve
9
Zinsstruktur
9
Stochastic process
6
Stochastischer Prozess
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Derivat
4
Derivative
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Volatilität
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Interest rate
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Zins
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Arbitrage Pricing
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Arbitrage pricing
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Option trading
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Optionsgeschäft
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Affine processes
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Anleihe
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Asset swap
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Bid-ask prices
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Bid-ask spread
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Bond
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Capital income
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Caps
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Cost of funding
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Currency derivative
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Discount margin
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Expansion series
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English
12
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Arrouy, Pierre-Edouard
1
Azzone, Michele
1
Barski, Michał
1
Baviera, Roberto
1
Björk, Tomas
1
Boumezoued, Alexandre
1
Cuchiero, Christa
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldys, Beniamin
1
Gombani, Andrea
1
Jamshidian, Farshid
1
Lapeyre, Bernard
1
Mashele, Hopolang Phillip
1
Mehalla, Sophian
1
Musiela, Marek
1
Rutkowski, Marek
1
Sonono, Masimba Energy
1
Vargiolu, Tiziano
1
Zabczyk, Jerzy
1
Zhao, Xiaoliang
1
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Finance and stochastics
Finance research letters
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
The journal of fixed income
8
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
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International review of finance
3
Research paper series / Swiss Finance Institute
3
Review of futures markets
3
SFB 649 discussion paper
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SpringerLink / Bücher
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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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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
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:
6
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:
7
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:
8
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
Saved in:
9
Volatility of the short rate in the rational lognormal model
Goldberg, Lisa
- In:
Finance and stochastics
2
(
1998
)
2
,
pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
Saved in:
10
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Beniamin
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 345-352
Persistent link: https://www.econbiz.de/10001226609
Saved in:
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