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subject:"Zinsstruktur"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Asia-Pacific financial markets"
~type_genre:"Aufsatz in Zeitschrift"
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Zinsstruktur
Interest rate derivative
19
Zinsderivat
19
Yield curve
12
Option pricing theory
9
Optionspreistheorie
9
Derivat
8
Derivative
8
Theorie
7
Theory
7
Stochastic process
6
Stochastischer Prozess
6
Swap
5
Interest rate
4
Volatility
4
Volatilität
4
Zins
4
Euromarkets
2
Euromarkt
2
Interest rate derivatives
2
interest rate derivatives
2
Arbitrage
1
Australia
1
Australien
1
Bermudan Swaptions
1
Black-Scholes model
1
Black-Scholes-Modell
1
Bundling strategy
1
CAPM
1
Cheyette
1
Computer network
1
Computernetz
1
Credit risk
1
Currency derivative
1
Development theory
1
Entwicklungstheorie
1
Estimation
1
Eurodollar futures
1
HJM models
1
Hybrid models
1
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Article
12
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Aufsatz in Zeitschrift
Article in journal
12
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English
12
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Chiarella, Carl
2
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Börger, Reik H.
1
Chung, Tsz-kin
1
Costabile, Massimo
1
Eberlein, Ernst
1
Gerhart, Christoph
1
Heys, Jan van
1
Hoencamp, J. H.
1
Hui, Cho H.
1
Kaisajuntti, Linus
1
Kandhai, B. D.
1
Kawai, Atsushi
1
Kort, J. P. de
1
Kwon, Oh Kang
1
Lo, Chi-fai
1
Lopes, Sara Dutra
1
Lütkebohmert-Holtz, Eva
1
Massabo, Ivar
1
Nikitopoulos, Christina Sklibosios
1
Pirjol, Dan
1
Russo, Emilio
1
Vázquez, Carlos
1
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Applied mathematical finance
Asia-Pacific financial markets
International journal of theoretical and applied finance
26
The journal of computational finance
14
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Journal of banking & finance
12
The journal of futures markets
12
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The journal of finance : the journal of the American Finance Association
9
The review of financial studies
9
Finance and stochastics
8
Journal of financial economics
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
International review of financial analysis
6
Review of derivatives research
6
Advances in futures and options research : a research annual
5
Risks : open access journal
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Journal of economic dynamics & control
3
Research in finance
3
Advances in Pacific Basin financial markets
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
2
European financial management : the journal of the European Financial Management Association
2
Financial engineering and the Japanese markets
2
Financial markets and portfolio management
2
International Journal of Financial Markets and Derivatives : IJFMD
2
International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic issues
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ECONIS (ZBW)
12
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
3
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
4
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
5
Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
Hui, Cho H.
;
Chung, Tsz-kin
;
Lo, Chi-fai
- In:
Asia-Pacific financial markets
20
(
2013
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10009750729
Saved in:
6
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
7
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
8
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
9
A new approximate swaption formula in the LIBOR market model : an asymptotic expansion approach
Kawai, Atsushi
- In:
Applied mathematical finance
10
(
2003
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10001756869
Saved in:
10
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
- In:
Asia-Pacific financial markets
10
(
2003
)
2/3
,
pp. 87-127
Persistent link: https://www.econbiz.de/10002762516
Saved in:
1
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