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subject:"Yield curve"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Theorie"
~subject:"Welt"
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Yield curve
Theorie
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Interest rate derivative
8
Zinsderivat
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Zinsstruktur
5
Derivat
4
Derivative
4
Option pricing theory
4
Optionspreistheorie
4
Stochastic process
3
Stochastischer Prozess
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Volatility
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Volatilität
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Swap
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Theory
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basis
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frequency basis
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liquidity risk
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swap market
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Arbitrage pricing
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Cheyette Model
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Commodity derivative
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Commodity exchange
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Commodity markets
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Delta hedging
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Derivative pricing
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Energy derivatives
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Erdöl
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Futures options
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Hedging
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Interest rate
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Interest rate derivatives
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Interest rate hedging
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Interest rate modelling
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Schlögl, Erik
3
Chiarella, Carl
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Alfeus, Mesias
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Beyna, Ingo
1
Grasselli, Martino
1
Kang, Boda
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Karlsson, Patrik
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Nikitopoulos, Christina Sklibosios
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
The journal of futures markets
46
International journal of theoretical and applied finance
31
Journal of banking & finance
22
The journal of computational finance
22
The journal of fixed income
21
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Advances in futures and options research : a research annual
17
Finance and stochastics
15
Review of derivatives research
13
Applied mathematical finance
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
The journal of finance : the journal of the American Finance Association
12
The review of financial studies
12
Journal of financial economics
10
Review of futures markets
10
International journal of financial engineering
9
SSE EFI working paper series in economics and finance
9
Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Working paper
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Applied financial economics
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Discussion paper / B
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Journal of economic dynamics & control
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Journal of financial and quantitative analysis : JFQA
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Journal of mathematical finance
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Quantitative finance
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SFB 649 discussion paper
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Economics letters
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Journal of international financial markets, institutions & money
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Europäische Hochschulschriften / 5
5
NBER working paper series
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
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Report / Erasmus Center for Financial Research, Erasmus University
5
Risks : open access journal
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SpringerLink / Bücher
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The European journal of finance
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
2
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
3
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
4
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
5
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
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