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subject:"Optionspreistheorie"
~subject:"Volatilität"
~type_genre:"Aufsatzsammlung"
~type_genre:"Konferenzbeitrag"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Volatilität
Yield curve
60
Zinsstruktur
60
Geldpolitik
18
Monetary policy
18
Theorie
17
Theory
17
Option pricing theory
13
Estimation
12
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12
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11
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11
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10
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Interest rate derivative
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879
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323
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323
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Grbac, Zorana
3
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2
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Benth, Fred Espen
1
Brody, Dorje C.
1
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1
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1
Pascalau, Razvan
1
Russo, Vincenzo
1
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1
Schmidt, Thorsten
1
Sosa, Andrés
1
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1
Torri, Gabriele
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
An Elgar reference collection
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Schriften des Vereins für Socialpolitik : SVS
1
The international library of critical writings in financial economics
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Trends in mathematical economics : dialogues between Southern Europe and Latin America
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ECONIS (ZBW)
14
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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
Pricing interest rate, dividend, and equity risk
Willems, Sander
-
2019
Persistent link: https://www.econbiz.de/10012198741
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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