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subject:"Yield curve"
~isPartOf:"The journal of fixed income"
~source:"econis"
~subject:"Zinsderivat"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Interest rate futures"
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Yield curve
Zinsderivat
Interest rate derivative
29
Theorie
17
Theory
17
Zinsstruktur
14
USA
10
United States
10
Swap
5
Volatility
5
Volatilität
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Optionspreistheorie
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Aufsatz in Zeitschrift
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Ap Gwilym, Owain
2
Brown, Rob
2
Fang, Victor
2
Ho, Thomas S. Y.
2
In, Francis Haeuck
2
Baba, Naohiko
1
Bandreddi, Santhosh
1
Belton, Terrence M.
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
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1
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Koenigsberg, Mark
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The journal of fixed income
The journal of futures markets
135
International journal of theoretical and applied finance
33
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
22
Review of futures markets
18
Applied mathematical finance
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The journal of finance : the journal of the American Finance Association
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
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
International journal of financial engineering
9
Economics letters
8
Quantitative finance
8
The European journal of finance
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Applied economics
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Finance : revue de l'Association Française de Finance
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Journal of economic dynamics & control
7
Journal of mathematical finance
7
Die Bank
6
European journal of operational research : EJOR
6
Global finance journal
6
Advances in Pacific Basin financial markets
5
International review of economics & finance : IREF
5
Journal of empirical finance
5
Journal of international money and finance
5
Quarterly bulletin / Bank of England
5
Research in finance
5
Risks : open access journal
5
The journal of business : B
5
The journal of financial research
5
Advances in investment analysis and portfolio management : a research annual
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ECONIS (ZBW)
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1
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
2
The predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
3
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
4
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
5
Embedded options in treasury bond futures prices : new evidence
Chen, Ren-Raw
;
Ju, Hann-shing
;
Yeh, Shih-kuo
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 82-95
Persistent link: https://www.econbiz.de/10003875982
Saved in:
6
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
7
Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
Saved in:
8
Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y.
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
Saved in:
9
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
10
Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh
;
Das, Sanjiv R.
;
Fan, Rong
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
Saved in:
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