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~isPartOf:"Applied financial economics"
~isPartOf:"The journal of fixed income"
~subject:"United States"
~subject:"Yield curve"
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Search: subject_exact:"Contingent-claims approach"
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United States
Yield curve
Option pricing theory
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Fabozzi, Frank J.
4
Heston, Steven L.
2
Russo, Vincenzo
2
Angbazo, Lazarus A.
1
Bali, Turan G.
1
Bertonazzi, Eric P.
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Applied financial economics
The journal of fixed income
The journal of futures markets
51
The journal of derivatives : the official publication of the International Association of Financial Engineers
46
International journal of theoretical and applied finance
43
Mathematical finance : an international journal of mathematics, statistics and financial theory
38
Journal of banking & finance
35
The journal of computational finance
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The review of financial studies
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Review of derivatives research
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The journal of finance : the journal of the American Finance Association
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Applied mathematical finance
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Journal of financial economics
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International journal of financial engineering
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International review of economics & finance : IREF
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Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
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Finance research letters
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Journal of empirical finance
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Journal of international money and finance
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Journal of mathematical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Review of quantitative finance and accounting
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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American journal of agricultural economics
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Discussion paper / Centre for Economic Policy Research
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European journal of operational research : EJOR
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International review of financial analysis
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1
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
Saved in:
2
Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
27
(
2017
)
2
,
pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
Saved in:
3
The effect of default and conversion options on bond duration
Horchani, Sana
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 26-35
Persistent link: https://www.econbiz.de/10011429757
Saved in:
4
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
5
Implied remaining variance in derivative pricing
Carr, Peter
;
Sun, Jian
- In:
The journal of fixed income
23
(
2014
)
4
,
pp. 19-32
Persistent link: https://www.econbiz.de/10010388877
Saved in:
6
A study of the solution to the Riccati equation in term structure modelling
Juneja, Januj
- In:
Applied financial economics
23
(
2013
)
22/24
,
pp. 1797-1803
Persistent link: https://www.econbiz.de/10010337262
Saved in:
7
Pricing credit default swap with nonlinear dependence
Shieh, Shwu-jane
;
Lin, Chih-yung
- In:
Applied financial economics
21
(
2011
)
4/6
,
pp. 261-269
Persistent link: https://www.econbiz.de/10009124603
Saved in:
8
Estimating single factor jump diffusion interest rate models
Sorwar, Ghulam
- In:
Applied financial economics
21
(
2011
)
22/24
,
pp. 1679-1689
Persistent link: https://www.econbiz.de/10009385057
Saved in:
9
A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
18
(
2008/09
)
3
,
pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
Saved in:
10
Spanning tests for options using principal components methods
Hansen, Charlotte S.
;
Tuypens, Bjorn E.
- In:
Applied financial economics
17
(
2007
)
7/9
,
pp. 739-746
Persistent link: https://www.econbiz.de/10003491227
Saved in:
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