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subject:"Volatility"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~isPartOf:"Review of derivatives research"
~subject:"Zinsderivat"
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Volatility
Zinsderivat
Yield curve
68
Zinsstruktur
68
Theorie
38
Theory
38
Option pricing theory
22
Optionspreistheorie
22
Risikoprämie
19
Risk premium
19
Anleihe
17
Bond
17
Credit risk
15
Kreditrisiko
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Volatilität
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Derivat
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Derivative
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Schätzung
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Management science : journal of the Institute for Operations Research and the Management Sciences
Review of derivatives research
International journal of theoretical and applied finance
37
Journal of banking & finance
35
The journal of futures markets
33
Journal of financial economics
21
The journal of fixed income
21
The journal of computational finance
20
The review of financial studies
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
NBER working paper series
17
Working paper / National Bureau of Economic Research, Inc.
17
Applied mathematical finance
15
Journal of international money and finance
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
NBER Working Paper
15
The journal of finance : the journal of the American Finance Association
15
Journal of empirical finance
14
Quantitative finance
14
Applied financial economics
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Economics letters
13
Journal of financial and quantitative analysis : JFQA
13
International journal of financial engineering
12
Finance and stochastics
11
International review of financial analysis
11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
Research paper series / Swiss Finance Institute
11
The North American journal of economics and finance : a journal of financial economics studies
11
Economic modelling
10
Finance research letters
10
Journal of international financial markets, institutions & money
10
Journal of mathematical finance
10
Interest rate modelling after the financial crisis
8
Risks : open access journal
8
Staff reports / Federal Reserve Bank of New York
8
Working paper
8
Asia-Pacific financial markets
7
Energy economics
7
International review of economics & finance : IREF
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ECONIS (ZBW)
18
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1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Correlated cashflow shocks, asset prices, and the term structure of equity
Hasler, Michael
;
Khapko, Mariana
- In:
Management science : journal of the Institute for …
69
(
2023
)
9
,
pp. 5560-5577
Persistent link: https://www.econbiz.de/10014392946
Saved in:
3
Information content of aggregate implied volatility spread
Han, Bing
;
Li, Gang
- In:
Management science : journal of the Institute for …
67
(
2021
)
2
,
pp. 1249-1269
Persistent link: https://www.econbiz.de/10012505469
Saved in:
4
Interest rate volatility and no-arbitrage affine term structure models
Joslin, Scott
;
Le, Anh
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7391-7416
Persistent link: https://www.econbiz.de/10012815286
Saved in:
5
Yield curves from different bond data sets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
- In:
Review of derivatives research
23
(
2020
)
2
,
pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
Saved in:
6
Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio
;
Pettenuzzo, Davide
;
Timmermann, Allan
- In:
Management science : journal of the Institute for …
65
(
2019
)
2
,
pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
Saved in:
7
Macroeconomic factors in oil futures markets
Heath, Davidson
- In:
Management science : journal of the Institute for …
65
(
2019
)
9
,
pp. 4407-4421
Persistent link: https://www.econbiz.de/10012118578
Saved in:
8
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
9
Can unspanned stochastic volatility models explain the cross section of bond volatilities?
Joslin, Scott
- In:
Management science : journal of the Institute for …
64
(
2018
)
4
,
pp. 1707-1726
Persistent link: https://www.econbiz.de/10011855690
Saved in:
10
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
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