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~isPartOf:"Applied mathematical finance"
~isPartOf:"The journal of futures markets"
~subject:"Theorie"
~subject:"Zinsderivat"
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Search: subject:"Term structure model"
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Theorie
Zinsderivat
Yield curve
108
Zinsstruktur
108
Theory
40
Option pricing theory
34
Optionspreistheorie
34
Volatility
31
Volatilität
31
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2
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Applied mathematical finance
The journal of futures markets
NBER working paper series
100
Working paper / National Bureau of Economic Research, Inc.
95
Journal of banking & finance
86
NBER Working Paper
85
International journal of theoretical and applied finance
68
The journal of fixed income
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
64
Journal of financial economics
56
The journal of finance : the journal of the American Finance Association
47
Working paper
45
The review of financial studies
44
Discussion paper / Centre for Economic Policy Research
41
Finance and stochastics
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Economics letters
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Journal of economic dynamics & control
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Journal of money, credit and banking : JMCB
35
Finance and economics discussion series
31
Journal of financial and quantitative analysis : JFQA
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Journal of international money and finance
31
The journal of derivatives : the official publication of the International Association of Financial Engineers
31
Journal of empirical finance
30
Working paper series / European Central Bank
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Journal of monetary economics
27
Journal of econometrics
24
Discussion papers / CEPR
23
International review of economics & finance : IREF
23
Staff reports / Federal Reserve Bank of New York
23
Working papers series / Federal Reserve Bank of San Francisco
22
Applied financial economics
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Discussion paper
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Finance research letters
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Management science : journal of the Institute for Operations Research and the Management Sciences
21
Review of derivatives research
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The European journal of finance
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International review of financial analysis
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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57
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
3
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
4
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
5
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
6
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.
;
Swan, Bruce Q.
;
Chen, Xinfu
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
Saved in:
7
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
8
Re-specification of affine term structure models : the linkage to empirical investigations
Huang, Ting Ting
;
Sun, Bruce Qiang
;
Chen, Xinfu
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 523-554
Persistent link: https://www.econbiz.de/10010500872
Saved in:
9
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
10
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
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