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subject:"Optionspreistheorie"
~person:"Fabozzi, Frank J."
~person:"Pelsser, Antoon André Jean"
~subject:"Zinsderivat"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Zinsderivat
Yield curve
41
Zinsstruktur
41
Theorie
25
Theory
25
Option pricing theory
11
Interest rate derivative
8
Derivat
7
Derivative
7
Estimation
6
Schätzung
6
CAPM
5
Interest rate
5
Portfolio selection
5
Portfolio-Management
5
Swap
5
Zins
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Factor analysis
4
Faktorenanalyse
4
USA
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United States
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Anleihe
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Bond
3
Correlation
3
Credit risk
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Korrelation
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Kreditrisiko
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1980-2004
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Credit derivative
2
EU countries
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Interest rate risk
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3
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Language
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English
16
Author
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Fabozzi, Frank J.
Pelsser, Antoon André Jean
Schlögl, Erik
19
Chiarella, Carl
17
Joshi, Mark S.
17
Sandmann, Klaus
16
Filipović, Damir
14
Chen, Son-nan
11
Miltersen, Kristian R.
11
Schoenmakers, John
11
Subrahmanyam, Marti G.
11
White, Alan
11
Mercurio, Fabio
10
Elliott, Robert J.
9
Grbac, Zorana
9
Rebonato, Riccardo
9
Akram, Tanweer
8
Beveridge, Christopher
8
Bianchetti, Marco
8
Duffie, Darrell
8
Henrard, Marc P. A.
8
Mamun, Khawaja Abdullah al
8
Wu, Ting-pin
8
Almeida, Caio
7
Benth, Fred Espen
7
Eberlein, Ernst
7
Fanelli, Viviana
7
Grasselli, Martino
7
Herwartz, Helmut
7
Hull, John
7
Ito, Takayasu
7
Jarrow, Robert A.
7
Jong, Frank de
7
Macrina, Andrea
7
Scaillet, Olivier
7
Schwartz, Eduardo S.
7
Sondermann, Dieter
7
Takahashi, Akihiko
7
Björk, Tomas
6
Blaskowitz, Oliver
6
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Econometrisch Instituut <Rotterdam>
1
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The journal of fixed income
3
Review of derivatives research
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Discussion paper / Center for Economic Research, Tilburg University
1
Econometric Institute research papers
1
European finance review : the official journal of the European Finance Association
1
Interest rate, term structure, and valuation modeling
1
Journal of pension economics and finance : JPEF
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Report / Erasmus Center for Financial Research, Erasmus University
1
The handbook of fixed income securities
1
Valuation, financial modeling, and quantitative tools
1
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ECONIS (ZBW)
16
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1
Robust long-term interest rate risk hedging in incomplete bond markets
Shen, Sally
;
Pelsser, Antoon André Jean
;
Schotman, Peter C.
- In:
Journal of pension economics and finance : JPEF
20
(
2021
)
2
,
pp. 273-300
Persistent link: https://www.econbiz.de/10012505369
Saved in:
2
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
3
Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
27
(
2017
)
2
,
pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
Saved in:
4
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
5
A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
Saved in:
6
Valuing swaptions
Fabozzi, Frank J.
;
Buetow, Gerald W.
-
2008
Persistent link: https://www.econbiz.de/10003765712
Saved in:
7
Pricing swaptions and coupon bond options in affine term structure models
Schrager, David F.
;
Pelsser, Antoon André Jean
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 673-694
Persistent link: https://www.econbiz.de/10003394188
Saved in:
8
Interest-rate swaps and swaptions
Fabozzi, Frank J.
;
Mann, Steven V.
;
Choudhry, Moorad
- In:
The handbook of fixed income securities
,
(pp. 1249-1281)
.
2005
Persistent link: https://www.econbiz.de/10003055314
Saved in:
9
On the information in the interest rate term structure and option prices
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
7
(
2004
)
2
,
pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
Saved in:
10
Risk managing Bermudan swaptions in the Libor BGM model
Pietersz, Raoul
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001902799
Saved in:
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