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subject:"Optionspreistheorie"
~subject:"Volatilität"
~type_genre:"Collection of articles of several authors"
~type_genre:"Konferenzbeitrag"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Volatilität
Yield curve
91
Zinsstruktur
91
Geldpolitik
28
Monetary policy
28
Theorie
27
Theory
27
Option pricing theory
19
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12
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12
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12
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Collection of articles of several authors
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879
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879
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Grbac, Zorana
3
Subrahmanyam, Marti G.
3
Hughston, Lane P.
2
Loubergé, Henri
2
Alexander, Volbert
1
Avellaneda, Marco
1
Baltensperger, Ernst
1
Barone-Adesi, Giovanni
1
Benth, Fred Espen
1
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1
Brody, Dorje C.
1
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1
Genaro, Alan de
1
Glau, Kathrin
1
Goudenege, Ludovic
1
Gregoriou, Greg N.
1
Jensen, Mikael Reimer
1
Krief, David
1
Laursen, Bo
1
Maddala, Gangadharrao S.
1
Meier, David M.
1
Molent, Andrea
1
Mordecki, Ernesto
1
Papapantoleon, Antonis
1
Pascalau, Razvan
1
Rao, Calyampudi Radhakrishna
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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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
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Journal of banking & finance
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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1
Schriften des Vereins für Socialpolitik : SVS
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ECONIS (ZBW)
21
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1
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21
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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
Econometric analysis of time-varying volatility in financial markets
Laursen, Bo
-
2017
Persistent link: https://www.econbiz.de/10011818415
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
Interbank markets and frictions
Jensen, Mikael Reimer
-
2016
-
1st edition
Persistent link: https://www.econbiz.de/10011823788
Saved in:
8
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:
9
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:
10
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:
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