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~isPartOf:"Advances in futures and options research : a research annual"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Option pricing theory"
~type_genre:"Article in journal"
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Option pricing theory
Interest rate derivative
61
Zinsderivat
61
Theorie
31
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31
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31
Optionspreistheorie
22
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Advances in futures and options research : a research annual
International journal of theoretical and applied finance
The journal of computational finance
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Review of derivatives research
10
Applied mathematical finance
9
Finance and stochastics
9
International journal of financial engineering
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Quantitative finance
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Risks : open access journal
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The journal of futures markets
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Advances in Pacific Basin financial markets
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Applied economics
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Finance research letters
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International Journal of Financial Markets and Derivatives : IJFMD
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Journal of economic dynamics & control
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Journal of financial and quantitative analysis : JFQA
2
Journal of investment management : JOIM
2
Review of futures markets
2
The European journal of finance
2
The North American journal of economics and finance : a journal of financial economics studies
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The journal of business : B
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The journal of finance : the journal of the American Finance Association
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Advances in investment analysis and portfolio management : a research annual
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Algorithmic finance
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Annual review of financial economics
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Applied financial economics letters
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Bank i kredyt
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Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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ECONIS (ZBW)
22
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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
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:
4
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:
5
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:
6
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:
7
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:
8
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
Saved in:
9
LIBOR market model under the real-world measure
Yasuoka, Takashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009780632
Saved in:
10
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
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