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~isPartOf:"Europäische Hochschulschriften / 5"
~isPartOf:"Review of derivatives research"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
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Interest rate derivative
40
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Europäische Hochschulschriften / 5
Review of derivatives research
The journal of finance : the journal of the American Finance Association
The journal of futures markets
137
International journal of theoretical and applied finance
34
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
Applied mathematical finance
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Journal of financial and quantitative analysis : JFQA
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Working paper
11
International journal of financial engineering
10
SSE EFI working paper series in economics and finance
10
Applied economics
9
NBER working paper series
9
Report / Erasmus Center for Financial Research, Erasmus University
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
European journal of operational research : EJOR
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
International review of economics & finance : IREF
7
Journal of economic dynamics & control
7
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ECONIS (ZBW)
40
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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
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:
4
Profitability patterns in the interest rate derivatives market
Meyer, Ralf
- In:
Review of derivatives research
20
(
2017
)
3
,
pp. 231-254
Persistent link: https://www.econbiz.de/10011936002
Saved in:
5
Linear-rational term structure models
Filipović, Damir
;
Larsson, Martin
;
Trolle, Anders B.
- In:
The journal of finance : the journal of the American …
72
(
2017
)
2
,
pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Saved in:
6
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
Saved in:
7
A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
Saved in:
8
Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.
;
Li, Haitao
;
Zhao, Feng
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
Saved in:
9
The impact of collateralization on swap rates
Johannes, Michael
;
Sundaresan, Suresh M.
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 383-410
Persistent link: https://www.econbiz.de/10003425912
Saved in:
10
Hedging or market timing? : Selecting the interest rate exposure of corporate debt
Faulkender, Michael
- In:
The journal of finance : the journal of the American …
60
(
2005
)
2
,
pp. 931-962
Persistent link: https://www.econbiz.de/10002730702
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