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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 journal of computational finance"
~subject:"Volatility"
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Volatility
Interest rate derivative
63
Zinsderivat
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Theorie
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1982-1985
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Rebonato, Riccardo
2
Andersen, Leif B. G.
1
Brotherton-Ratcliffe, Rupert
1
Cotton, Peter
1
Fouque, Jean-Pierre
1
Jaeckel, Peter
1
Keller‐Ressel, Martin
1
Kiesel, Rüdiger
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Kim, Don H.
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Papapantoleon, Antonis
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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 journal of computational finance
The journal of futures markets
12
International journal of theoretical and applied finance
8
The European journal of finance
5
The journal of fixed income
5
Finance and stochastics
4
Journal of banking & finance
4
Review of derivatives research
4
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Discussion paper / Tinbergen Institute
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International review of financial analysis
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Advances in Pacific Basin financial markets
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Advances in investment analysis and portfolio management : a research annual
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Applied financial economics
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Applied financial economics letters
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CoFE discussion papers
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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European journal of operational research : EJOR
2
IMES discussion paper series / Englische Ausgabe
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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
Quantitative finance
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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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ECONIS (ZBW)
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1
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:
2
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:
3
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
4
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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 link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
7
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 5-27
Persistent link: https://www.econbiz.de/10001517294
Saved in:
8
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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