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~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of mathematical finance"
~subject:"HJM model"
~subject:"Optionspreistheorie"
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HJM model
Optionspreistheorie
Interest rate derivative
22
Zinsderivat
22
Theorie
15
Theory
15
Yield curve
15
Zinsstruktur
15
Option pricing theory
13
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Arrouy, Pierre-Edouard
1
Bidima, Martin Le Doux Mbele
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1
Fontana, Claudio
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1
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Finance and stochastics
Journal of mathematical finance
The journal of computational finance
18
International journal of theoretical and applied finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Review of derivatives research
10
Applied mathematical finance
9
International journal of financial engineering
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Advances in futures and options research : a research annual
5
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Risks : open access journal
5
European journal of operational research : EJOR
4
Quantitative finance
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Série de trabalhos para discussão
4
The journal of futures markets
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Global finance journal
3
Journal of financial economics
3
SSE EFI working paper series in economics and finance
3
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3
The journal of fixed income
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The review of financial studies
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Annual review of financial economics
2
Berichte des Fraunhofer ITWM
2
Bonn Econ Discussion Papers / BGSE
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Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
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Economic modelling
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Europäische Hochschulschriften / 5
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ECONIS (ZBW)
13
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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
Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model
Wamwea, Charity
;
Ngare, Philip
;
Bidima, Martin Le Doux Mbele
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 698-725
Persistent link: https://www.econbiz.de/10012433485
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
Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
5
(
2015
)
4
,
pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
Saved in:
5
Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili
;
Liu, Yonghui
;
Wang, Shoubai
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
Saved in:
6
Interest rate models
Paseka, Alex
;
Koulis, Theodoro
;
Thaaneswaran, Aerambamoorthy
- In:
Journal of mathematical finance
2
(
2012
)
2
,
pp. 141-158
Persistent link: https://www.econbiz.de/10009719264
Saved in:
7
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
Saved in:
8
Minimal realizations of interest rate models
Björk, Tomas
;
Gombani, Andrea
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
Saved in:
9
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
Saved in:
10
Volatility of the short rate in the rational lognormal model
Goldberg, Lisa
- In:
Finance and stochastics
2
(
1998
)
2
,
pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
Saved in:
1
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