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subject:"Optionspreistheorie"
~isPartOf:"International journal of financial engineering"
~subject:"State space model"
~subject:"Volatilität"
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Optionspreistheorie
State space model
Volatilität
Yield curve
23
Zinsstruktur
23
Option pricing theory
12
Interest rate derivative
9
Zinsderivat
9
Interest rate
8
Zins
8
Theorie
6
Theory
6
Stochastic process
5
Stochastischer Prozess
5
CAPM
4
Credit risk
4
Estimation
4
Kreditrisiko
4
LIBOR market model
4
Schätzung
4
Swap
4
EU countries
3
EU-Staaten
3
Volatility
3
Zustandsraummodell
3
Anleihe
2
Bond
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Bond market
2
CSA
2
Collateral
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Corporate bond
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Derivat
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Derivative
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Finanzmathematik
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Geldpolitik
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Interest rate risk
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Kalman filter
2
Kreditsicherung
2
Mathematical finance
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2
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17
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17
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English
17
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Gyamerah, Samuel Asante
2
Ikpe, Dennis
2
Mi, Yanhui
2
Takahashi, Akihiko
2
Zhong, Yangfan
2
Bhar, Ramaprasad
1
Dang-Nguyen, S.
1
Diffouo, Pauline M. Ngugnie
1
Elliott, Robert J.
1
Fuji, Masaaki
1
Giribone, Pier Giuseppe
1
Hu, Xiao
1
Jain, Shashi
1
Karlsson, Patrik
1
Lee, Damien
1
Ligato, Simone
1
Lorig, Matthew
1
Mawonike, Romeo
1
Mulas, Martina
1
Noupoue, Yves Y. Yameni
1
Oosterlee, Cornelis Willebrordus
1
Ostrovski, Vladimir
1
Pan, Jian
1
Rakotondratsimba, Y.
1
Sithole, Yethu
1
Suaysom, Natchanon
1
Takahashi, Soichiro
1
Tian, Xinming
1
Wang, Kuitai
1
Wu, Ping
1
Zhou, Xiangying
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International journal of financial engineering
International journal of theoretical and applied finance
46
Journal of banking & finance
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
36
The journal of futures markets
29
Applied mathematical finance
27
The journal of computational finance
23
The journal of fixed income
23
Finance and stochastics
21
The journal of derivatives : the official publication of the International Association of Financial Engineers
21
Review of derivatives research
20
Quantitative finance
19
The review of financial studies
19
Journal of financial economics
18
Working paper / National Bureau of Economic Research, Inc.
18
Journal of empirical finance
16
NBER working paper series
16
NBER Working Paper
15
Research paper series / Swiss Finance Institute
15
Finance research letters
14
The North American journal of economics and finance : a journal of financial economics studies
14
The journal of finance : the journal of the American Finance Association
14
Asia-Pacific financial markets
13
Discussion paper / Tinbergen Institute
13
Economic modelling
13
Journal of financial and quantitative analysis : JFQA
13
Journal of international money and finance
13
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
13
The European journal of finance
12
International review of financial analysis
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Risks : open access journal
11
Applied financial economics
10
CREATES research paper
10
Economics letters
10
Journal of econometrics
10
SpringerLink / Bücher
10
Working paper
10
Finance and economics discussion series
9
International review of economics & finance : IREF
9
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ECONIS (ZBW)
17
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1
A state space modeling for proactive management in equity investment
Takahashi, Akihiko
;
Takahashi, Soichiro
- In:
International journal of financial engineering
9
(
2022
)
4
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014234372
Saved in:
2
On a consistent state-space bond markets model for pricing long-maturity bonds
Ikpe, Dennis
;
Sithole, Yethu
;
Gyamerah, Samuel Asante
- In:
International journal of financial engineering
9
(
2022
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014234421
Saved in:
3
Explicit caplet implied volatilities for quadratic term-structure models
Lorig, Matthew
;
Suaysom, Natchanon
- In:
International journal of financial engineering
11
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014521323
Saved in:
4
State-space of the Vasicek model for long-term bonds with Kalman filter
Mawonike, Romeo
;
Ikpe, Dennis
;
Gyamerah, Samuel Asante
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014304258
Saved in:
5
Volatility morphology of asset value and credit spread puzzle
Hu, Xiao
;
Tian, Xinming
;
Wang, Kuitai
- In:
International journal of financial engineering
8
(
2021
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012655039
Saved in:
6
Pricing kernel factorization and recovery theorem
Diffouo, Pauline M. Ngugnie
;
Noupoue, Yves Y. Yameni
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012603067
Saved in:
7
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
8
Alternative characterization of volatility of short-term interest rate
Bhar, Ramaprasad
;
Lee, Damien
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011923007
Saved in:
9
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
10
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
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