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subject:"Zinsstruktur"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Welt"
~type_genre:"Arbeitspapier"
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Zinsstruktur
Welt
Interest rate derivative
8
Zinsderivat
8
Yield curve
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Derivat
4
Derivative
4
Option pricing theory
4
Optionspreistheorie
4
Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Swap
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Theorie
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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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Arbitrage pricing
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Bias
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Calibration
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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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Interest rate risk
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Schlögl, Erik
3
Chiarella, Carl
2
Alfeus, Mesias
1
Beyna, Ingo
1
Grasselli, Martino
1
Kang, Boda
1
Karlsson, Patrik
1
Nikitopoulos, Christina Sklibosios
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
SFB 649 discussion paper
5
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4
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IMF working papers
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Skrifter fra Institut for Virksomhedsledelse, Odense Universitet
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Working paper / National Bureau of Economic Research, Inc.
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
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1
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ECONIS (ZBW)
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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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