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subject:"Zinsstruktur"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Estimation"
~subject:"Risk premium"
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Zinsstruktur
Estimation
Risk premium
Interest rate derivative
33
Zinsderivat
33
Yield curve
26
Option pricing theory
17
Optionspreistheorie
17
Theorie
14
Theory
14
Derivat
10
Derivative
10
Volatility
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Volatilität
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Interest rate
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Stochastic process
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Swap
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Zins
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Kreditrisiko
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LIBOR market model
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Risikoprämie
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Germany
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Großbritannien
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interest rate derivatives
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28
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Baviera, Roberto
2
Bouchaud, Jean-Philippe
2
Matacz, Andrew
2
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1
Avellaneda, Marco
1
Belomestny, Denis
1
Benth, Fred Espen
1
Biagini, Francesca
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
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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
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1
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1
Hui, Cho H.
1
Ito, Sumito
1
Jaimungal, Sebastian
1
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1
Kazemi, Hossein
1
Kennedy, Joanne E.
1
Kerkhof, Franciscus Lambertus Johannes
1
Koekebakker, Steen
1
Kolodko, Anastasia
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Konno, Hiroshi
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Lo, C. F.
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1
Meyer-Brandis, Thilo
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1
Pallavicini, Andrea
1
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1
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International journal of theoretical and applied finance
The journal of futures markets
17
The journal of computational finance
16
Journal of banking & finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of fixed income
14
Applied financial economics
10
Applied mathematical finance
10
The journal of finance : the journal of the American Finance Association
10
International journal of financial engineering
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
Quantitative finance
8
Journal of mathematical finance
7
SFB 649 discussion paper
7
Advances in futures and options research : a research annual
6
Discussion paper / B
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
European journal of operational research : EJOR
5
Journal of international financial markets, institutions & money
5
Journal of international money and finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
Working papers / The Levy Economics Institute
5
BIS working papers
4
CoFE discussion papers
4
Economics letters
4
IMF working papers
4
Journal of financial and quantitative analysis : JFQA
4
Research paper series / Swiss Finance Institute
4
Working paper / National Bureau of Economic Research, Inc.
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Annual review of financial economics
3
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ECONIS (ZBW)
28
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1
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
4
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
5
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
6
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
7
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
8
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
9
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Saved in:
10
The multi-curve potential model
Nguyen, The Anh
;
Seifried, Frank Thomas
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011404390
Saved in:
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