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subject:"Zinsstruktur"
~isPartOf:"International journal of financial engineering"
~subject:"Germany"
~subject:"Risk premium"
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Zinsstruktur
Germany
Risk premium
Interest rate derivative
9
Option pricing theory
9
Optionspreistheorie
9
Yield curve
9
Zinsderivat
9
LIBOR market model
4
Interest rate
3
Stochastic process
3
Stochastischer Prozess
3
Swap
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Zins
3
CAPM
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CSA
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Collateral
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Credit risk
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Derivat
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Derivative
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Finanzmathematik
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Kreditsicherung
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Mathematical finance
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OIS
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multi-factor model
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multiplicative basis
2
square-root process
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Affine interest rate models
1
Applied mathematical finance
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Benchmarking
1
Bermudan swaptions
1
CMS range notes
1
Caplet/Cap
1
Collateral management
1
Common agricultural policy
1
EU countries
1
EU-Agrarpolitik
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EU-Staaten
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Estimation
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Estimation theory
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9
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Mi, Yanhui
2
Zhong, Yangfan
2
Elliott, Robert J.
1
Fuji, Masaaki
1
Giribone, Pier Giuseppe
1
Jain, Shashi
1
Karlsson, Patrik
1
Ligato, Simone
1
Mulas, Martina
1
Oosterlee, Cornelis Willebrordus
1
Ostrovski, Vladimir
1
Pan, Jian
1
Takahashi, Akihiko
1
Wu, Ping
1
Zhou, Xiangying
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International journal of financial engineering
International journal of theoretical and applied finance
28
Journal of banking & finance
15
The journal of computational finance
15
The journal of futures markets
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of fixed income
14
The journal of finance : the journal of the American Finance Association
10
Applied financial economics
9
Applied mathematical finance
9
Journal of financial economics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Journal of international financial markets, institutions & money
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
Europäische Hochschulschriften / 5
6
Review of derivatives research
6
SFB 649 discussion paper
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Die Bank
5
Gabler Edition Wissenschaft
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
BIS working papers
4
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
4
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international money and finance
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Research paper series / Swiss Finance Institute
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
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ECONIS (ZBW)
9
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1
Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping
;
Elliott, Robert J.
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
Saved in:
2
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
3
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
4
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
5
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
6
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
7
Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
Saved in:
8
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
9
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
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