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~isPartOf:"Applied mathematical finance"
~subject:"Zinsstruktur"
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Zinsstruktur
Derivat
80
Derivative
80
Option pricing theory
68
Optionspreistheorie
68
Theorie
32
Theory
32
Stochastic process
30
Stochastischer Prozess
30
Volatility
30
Volatilität
30
Option trading
17
Optionsgeschäft
17
Yield curve
17
Hedging
16
Interest rate derivative
16
Zinsderivat
16
Swap
10
Black-Scholes model
8
Black-Scholes-Modell
8
Credit risk
7
Kreditrisiko
7
Portfolio selection
7
Portfolio-Management
7
Simulation
7
Weather
7
Wetter
7
Commodity derivative
6
Incomplete market
6
Interest rate
6
Lévy processes
6
Risiko
6
Risk
6
Rohstoffderivat
6
Unvollkommener Markt
6
Zins
6
Energiemarkt
5
Energy market
5
Risikoprämie
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Risk premium
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17
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English
17
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Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Bouchaud, Jean-Philippe
1
Börger, Reik H.
1
Chen, Xinfu
1
Chiu, Chun-Yuan
1
Costabile, Massimo
1
Deelstra, Griselda
1
Eberlein, Ernst
1
Gerhart, Christoph
1
Heys, Jan van
1
Hoencamp, J. H.
1
Kaisajuntti, Linus
1
Kandhai, B. D.
1
Kawai, Atsushi
1
Kercheval, Alec
1
Kort, J. P. de
1
Lopes, Sara Dutra
1
Lütkebohmert-Holtz, Eva
1
Mai, Jan-Frederik
1
Manoliu, Mihaela
1
Massabo, Ivar
1
Olivares, Pablo
1
Pirjol, Dan
1
Rayée, Grégory
1
Russo, Emilio
1
Rutkowski, Marek
1
Schenk, Steffen
1
Scherer, Matthias
1
Schlögl, Erik
1
Schlögl, Lutz
1
Swan, Bruce Q.
1
Swan, Tina T.
1
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1
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Applied mathematical finance
International journal of theoretical and applied finance
43
The journal of futures markets
33
Journal of banking & finance
31
The journal of fixed income
23
NBER working paper series
21
NBER Working Paper
19
Journal of financial economics
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
The journal of computational finance
17
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Working paper / National Bureau of Economic Research, Inc.
15
The journal of finance : the journal of the American Finance Association
14
Journal of financial and quantitative analysis : JFQA
13
Quantitative finance
13
Review of derivatives research
13
Finance and stochastics
12
International review of financial analysis
12
Journal of empirical finance
12
The review of financial studies
12
International journal of financial engineering
11
Discussion paper / Centre for Economic Policy Research
10
Working paper
10
Applied financial economics
9
Journal of international financial markets, institutions & money
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
9
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
9
Energy economics
8
Interest rate modelling after the financial crisis
8
Journal of international money and finance
8
Journal of mathematical finance
8
Discussion paper / B
7
Journal of money, credit and banking : JMCB
7
The European journal of finance
7
Advances in futures and options research : a research annual
6
Economics letters
6
European journal of operational research : EJOR
6
IMF working papers
6
International review of economics & finance : IREF
6
Lecture notes in economics and mathematical systems : LNEMS
6
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ECONIS (ZBW)
17
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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
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:
3
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
Saved in:
4
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:
5
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:
6
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
7
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
8
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
9
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
10
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
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