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subject:"Yield curve"
~isPartOf:"Finance and stochastics"
~source:"econis"
~subject:"Option pricing theory"
~subject:"Zinsderivat"
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Yield curve
Option pricing theory
Zinsderivat
Interest rate derivative
15
Theorie
13
Theory
13
Optionspreistheorie
9
Zinsstruktur
8
Stochastic process
6
Stochastischer Prozess
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Volatility
4
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Derivat
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Capital income
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Forward rate agreement
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Interest rate
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Jacobi dynamics
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Kapitaleinkommen
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LIBOR market model
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Libor rate
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Martingal
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Multiple yield curves
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Björk, Tomas
2
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1
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1
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1
Chiarella, Carl
1
Cuchiero, Christa
1
Eberlein, Ernst
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Fontana, Claudio
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Glasserman, Paul
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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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1
Rutkowski, Marek
1
Scaillet, Olivier
1
Vargiolu, Tiziano
1
Zabczyk, Jerzy
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Finance and stochastics
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Review of derivatives research
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Europäische Hochschulschriften / 5
11
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Working paper
11
SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
9
Report / Erasmus Center for Financial Research, Erasmus University
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Quantitative finance
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
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1
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
2
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
3
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
4
The Lévy LIBOR model
Eberlein, Ernst
;
Özkan, Fehmi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
Saved in:
5
On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas
;
Landén, Camilla
- In:
Finance and stochastics
6
(
2002
)
3
,
pp. 303-331
Persistent link: https://www.econbiz.de/10001680671
Saved in:
6
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
Saved in:
7
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
Saved in:
8
Markov-functional interest rate models
Hunt, Phil J.
;
Kennedy, Joanne
;
Pelsser, Antoon André Jean
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
Saved in:
9
Minimal realizations of interest rate models
Björk, Tomas
;
Gombani, Andrea
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
Saved in:
10
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
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