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subject:"Optionspreistheorie"
~isPartOf:"The journal of computational finance"
~subject:"Capital income"
~subject:"EU-Staaten"
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Optionspreistheorie
Capital income
EU-Staaten
Yield curve
29
Zinsstruktur
29
Option pricing theory
23
Interest rate derivative
15
Zinsderivat
15
Stochastic process
10
Stochastischer Prozess
10
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8
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8
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calibration
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finite difference
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stochastic volatility
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swaptions
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2
Korn, Ralf
2
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2
Ahdida, Abdelkoddousse
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1
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1
Andersen, Leif B. G.
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1
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Jabłecki, Juliusz
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The journal of computational finance
Working paper series / European Central Bank
57
Journal of banking & finance
54
NBER working paper series
46
International journal of theoretical and applied finance
44
NBER Working Paper
41
Journal of international money and finance
37
Mathematical finance : an international journal of mathematics, statistics and financial theory
33
Working paper / National Bureau of Economic Research, Inc.
33
ECB Working Paper
31
Journal of financial economics
31
Finance research letters
30
Finance and economics discussion series
26
The journal of fixed income
26
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23
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20
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19
Finance and stochastics
19
Review of derivatives research
19
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18
International review of economics & finance : IREF
18
The European journal of finance
18
The North American journal of economics and finance : a journal of financial economics studies
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Journal of empirical finance
17
The journal of futures markets
17
Economics letters
16
Quantitative finance
16
Working paper
16
Banque de France Working Paper
15
International journal of finance & economics : IJFE
15
International journal of financial engineering
15
Journal of economic dynamics & control
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied economics
14
Applied economics letters
14
Applied financial economics
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
23
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1
Dynamic refinement of the term structure: time-homogeneous term structure modeling
Fries, Christian
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012421963
Saved in:
2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
5
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
Saved in:
6
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
7
Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.
;
Frangos, Nikolaos E.
; …
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
Saved in:
8
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
9
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
10
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
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