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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
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Interest rate derivative
38
Zinsderivat
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Finance and stochastics
Interest rate futures : concepts and issues
The journal of finance : the journal of the American Finance Association
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
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Journal of international financial markets, institutions & money
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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
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International review of financial analysis
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ECONIS (ZBW)
38
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1
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
2
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:
3
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
4
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
5
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:
6
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:
7
The Lévy LIBOR model
Eberlein, Ernst
;
Özkan, Fehmi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
Saved in:
8
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
Saved in:
9
The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael
- In:
The journal of finance : the journal of the American …
59
(
2004
)
1
,
pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
Saved in:
10
Hedging in the possible presence of unspanned stochastic volatility : evidence from swaption markets
Fan, Rong
;
Gupta, Anurag
;
Ritchken, Peter H.
- In:
The journal of finance : the journal of the American …
58
(
2003
)
5
,
pp. 2219-2248
Persistent link: https://www.econbiz.de/10001797838
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