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subject:"Yield curve"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"International journal of financial engineering"
~isPartOf:"Journal of international financial markets, institutions & money"
~subject:"Zins"
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Search: subject_exact:"Interest rate futures"
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Yield curve
Zins
Interest rate derivative
30
Zinsderivat
30
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Option pricing theory
13
Optionspreistheorie
13
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7
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Fanelli, Viviana
2
Mi, Yanhui
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Chen, Homing
1
D'Innocenzo, Enzo
1
David-Pur, Lior
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European journal of operational research : EJOR
International journal of financial engineering
Journal of international financial markets, institutions & money
International journal of theoretical and applied finance
27
The journal of futures markets
22
The journal of computational finance
16
The journal of derivatives : the official publication of the International Association of Financial Engineers
15
The journal of fixed income
14
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
11
The review of financial studies
10
Applied financial economics
9
Applied mathematical finance
9
Finance and stochastics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
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Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Journal of financial economics
8
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Working papers / The Levy Economics Institute
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Economics letters
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Advances in futures and options research : a research annual
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Advances in Pacific Basin financial markets
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Annual review of financial economics
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ECONIS (ZBW)
18
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
Cross-currency basis swap spreads and corporate dollar funding
David-Pur, Lior
;
Galil, Koresh
;
Rosenboim, Mosi
; …
- In:
Journal of international financial markets, …
85
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014433286
Saved in:
3
Independent policy, dependent outcomes : a game of cross-country dominoes across European yield curves
Stenfors, Alexis
;
Chatziantoniou, Ioannis
;
Gabauer, David
- In:
Journal of international financial markets, …
81
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013533377
Saved in:
4
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
5
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
6
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
7
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
8
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
9
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
10
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
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