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type_genre:"Article in journal"
~isPartOf:"Journal of financial economics"
~subject:"Derivat"
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Search: subject_exact:"Term structure theory"
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Derivat
Yield curve
115
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115
Theorie
49
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40
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40
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Bakshi, Gurdip S.
2
Arnold, Marc
1
Aït-Sahalia, Yacine
1
Bai, Jennie
1
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1
Crosby, John
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1
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1
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Journal of financial economics
International journal of theoretical and applied finance
25
Journal of banking & finance
15
Applied mathematical finance
10
Review of derivatives research
10
The journal of fixed income
9
The journal of computational finance
8
The journal of futures markets
8
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7
Journal of financial and quantitative analysis : JFQA
6
International review of financial analysis
5
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Journal of money, credit and banking : JMCB
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Annual review of financial economics
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Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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European journal of operational research : EJOR
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Finance and stochastics
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Journal of international financial markets, institutions & money
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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The journal of real estate finance and economics
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Advances in futures and options research : a research annual
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Applied economics letters
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Asia-Pacific journal of financial studies
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ECONIS (ZBW)
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Treasury yield implied volatility and real activity
Cremers, Martijn
;
Fleckenstein, Matthias
;
Gandhi, Priyank
- In:
Journal of financial economics
140
(
2021
)
2
,
pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
Saved in:
3
The leverage effect and the basket-index put spread
Bai, Jennie
;
Goldstein, Robert S.
;
Yang, Fan
- In:
Journal of financial economics
131
(
2019
)
1
,
pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
Saved in:
4
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
5
Growth options, macroeconomic conditions, and the cross section of credit risk
Arnold, Marc
;
Wagner, Alexander F.
;
Westermann, Ramona
- In:
Journal of financial economics
107
(
2013
)
2
,
pp. 350-385
Persistent link: https://www.econbiz.de/10009719728
Saved in:
6
Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine
;
Kimmel, Robert
- In:
Journal of financial economics
98
(
2010
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10008702741
Saved in:
7
Spanning and derivative-security valuation
Bakshi, Gurdip S.
;
Madan, Dilip B.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 205-238
Persistent link: https://www.econbiz.de/10001448505
Saved in:
8
An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
Saved in:
9
The information in forward rates : implications for models of the term structure
Stambaugh, Robert F.
- In:
Journal of financial economics
1
(
1988
),
pp. 41-70
Persistent link: https://www.econbiz.de/10001051360
Saved in:
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