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subject:"Yield curve"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Currency derivative"
~subject:"Interest rate"
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Yield curve
Currency derivative
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Interest rate derivative
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D'Innocenzo, Enzo
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European journal of operational research : EJOR
The journal of futures markets
29
International journal of theoretical and applied finance
27
The journal of computational finance
16
The journal of derivatives : the official publication of the International Association of Financial Engineers
16
The journal of fixed income
15
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
12
The review of financial studies
10
Applied financial economics
9
Applied mathematical finance
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Finance and stochastics
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International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Journal of financial economics
8
Review of derivatives research
8
Working papers / The Levy Economics Institute
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Economics letters
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Journal of mathematical finance
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Quantitative finance
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Working paper
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Advances in futures and options research : a research annual
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Discussion paper / B
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Journal of financial and quantitative analysis : JFQA
5
Risks : open access journal
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SFB 649 discussion paper
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SpringerLink / Bücher
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Applied economics
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Discussion paper / Centre for Economic Policy Research
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Gabler Edition Wissenschaft
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Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Research in finance
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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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
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:
3
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:
4
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
5
A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing
;
Hu, Cheng-feng
- In:
European journal of operational research : EJOR
204
(
2010
)
2
,
pp. 343-354
Persistent link: https://www.econbiz.de/10003947179
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