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~isPartOf:"Europäische Hochschulschriften / 5"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Review of derivatives research"
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Interest rate derivative
57
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Europäische Hochschulschriften / 5
International journal of theoretical and applied finance
Review of derivatives research
The journal of futures markets
137
The journal of fixed income
29
Advances in futures and options research : a research annual
28
Journal of banking & finance
26
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
The journal of computational finance
23
Review of futures markets
18
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The journal of finance : the journal of the American Finance Association
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Journal of international financial markets, institutions & money
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Journal of financial economics
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Journal of financial and quantitative analysis : JFQA
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
11
International review of financial analysis
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Working paper
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International journal of financial engineering
10
SSE EFI working paper series in economics and finance
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Report / Erasmus Center for Financial Research, Erasmus University
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Economics letters
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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Working papers / The Levy Economics Institute
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European journal of operational research : EJOR
7
Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
International review of economics & finance : IREF
7
Journal of economic dynamics & control
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ECONIS (ZBW)
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1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Jarrow, Robert A.
;
Li, Siguang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014266351
Saved in:
3
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
4
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
5
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
6
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
7
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
8
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
9
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
10
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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