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~isPartOf:"Advances in futures and options research : a research annual"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The European journal of finance"
~subject:"Volatility"
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Volatility
Interest rate derivative
48
Zinsderivat
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Theorie
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United States
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Coakley, Jerry
1
Cotton, Peter
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Darbellay, Georges A.
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Fouque, Jean-Pierre
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Herrerias, Renata
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Keller‐Ressel, Martin
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Kim, Don H.
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1
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1
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Advances in futures and options research : a research annual
Mathematical finance : an international journal of mathematics, statistics and financial theory
The European journal of finance
The journal of futures markets
12
International journal of theoretical and applied finance
8
The journal of fixed income
5
Finance and stochastics
4
Journal of banking & finance
4
Review of derivatives research
4
The journal of computational finance
4
Applied mathematical finance
3
Discussion paper / Tinbergen Institute
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Economic modelling
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International review of financial analysis
3
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
Research paper series / Swiss Finance Institute
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Advances in Pacific Basin financial markets
2
Advances in investment analysis and portfolio management : a research annual
2
Applied financial economics
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Applied financial economics letters
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CoFE discussion papers
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
2
European journal of operational research : EJOR
2
IMES discussion paper series / Englische Ausgabe
2
International finance
2
International review of finance
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Journal of empirical finance
2
Journal of financial economics
2
Journal of international financial markets, institutions & money
2
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Report / Erasmus Center for Financial Research, Erasmus University
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Review of futures markets
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SFB 649 discussion paper
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SSE EFI working paper series in economics and finance
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The journal of credit risk : published quarterly by Incisive Media
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The journal of finance : the journal of the American Finance Association
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The review of financial studies
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1
Volatility patterns of short-term interest rate futures
Gurrola-Perez, Pedro
;
Herrerias, Renata
- In:
The European journal of finance
27
(
2021
)
16
,
pp. 1604-1625
Persistent link: https://www.econbiz.de/10012872906
Saved in:
2
A pricing kernel approach to valuing options on interest rate futures
Liu, Xiaoquan
;
Kuo, Jing-Ming
;
Coakley, Jerry
- In:
The European journal of finance
21
(
2015
)
1/3
,
pp. 93-110
Persistent link: https://www.econbiz.de/10010519972
Saved in:
3
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
4
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
5
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
6
The volatility term structure in a lognormal process for the short rate
Darbellay, Georges A.
- In:
The European journal of finance
9
(
2003
)
1
,
pp. 92-103
Persistent link: https://www.econbiz.de/10001749092
Saved in:
7
Temporal aggregation, volatility components and volume in high frequency UK bond futures
McMillan, David G.
;
Speight, Alan E. H.
- In:
The European journal of finance
8
(
2002
)
1
,
pp. 70-92
Persistent link: https://www.econbiz.de/10001636185
Saved in:
8
A family of humped volatility models
Mercurio, Fabio
;
Moraleda Novo, Juan Manuel
- In:
The European journal of finance
7
(
2001
)
2
,
pp. 93-116
Persistent link: https://www.econbiz.de/10001603191
Saved in:
9
Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H.
- In:
Mathematical finance : an international journal of …
5
(
1995
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
Saved in:
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