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subject:"Optionspreistheorie"
~subject:"Capital income"
~type_genre:"Konferenzbeitrag"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Capital income
Yield curve
57
Zinsstruktur
57
Theorie
23
Theory
23
Geldpolitik
16
Monetary policy
16
Option pricing theory
16
Public bond
9
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Grbac, Zorana
3
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Lhabitant, François-Serge
2
Sundaresan, Suresh M.
2
Talay, Denis
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Goudenege, Ludovic
1
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1
Ho, Thomas S. Y.
1
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1
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1
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1
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1
Mordecki, Ernesto
1
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1
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1
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1
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1
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1
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1
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1
Tankov, Peter
1
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1
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1
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
3
Computational Management Science : CMS
2
International journal of theoretical and applied finance
2
Finanzmarkt und Portfolio-Management
1
Foundations and trends in finance
1
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Journal of international economics
1
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Paine Webber working paper series in money, economics and finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of finance : the journal of the American Finance Association
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Trends in mathematical economics : dialogues between Southern Europe and Latin America
1
Working paper / Institut de Gestion Bancaire et Financière, HEC, Université de Lausanne
1
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ECONIS (ZBW)
19
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1
Term structure modeling with overnight rates beyond stochastic continuity
Fontana, Claudio
;
Grbac, Zorana
;
Schmidt, Thorsten
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 151-189
Persistent link: https://www.econbiz.de/10014471210
Saved in:
2
Corporate yields and sovereign yields
Bevilaqua, Julia
;
Hale, Galina
;
Tallman, Eric
- In:
Journal of international economics
124
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012590677
Saved in:
3
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
Saved in:
4
Calibration of one-factor and two-factor Hull-White models using swaptions
Russo, Vincenzo
;
Torri, Gabriele
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 275-295
Persistent link: https://www.econbiz.de/10011993481
Saved in:
5
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
6
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
7
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
8
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
Saved in:
9
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
10
Modelling the Uruguayan debt through Gaussians models
Mordecki, Ernesto
;
Sosa, Andrés
- In:
Trends in mathematical economics : dialogues between …
,
(pp. 331-346)
.
2016
Persistent link: https://www.econbiz.de/10011800861
Saved in:
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