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~isPartOf:"Review of derivatives research"
~subject:"Interest rate derivative"
~subject:"Theory"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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Interest rate derivative
Theory
Yield curve
81
Zinsstruktur
81
Theorie
55
Option pricing theory
36
Optionspreistheorie
36
Stochastic process
22
Stochastischer Prozess
22
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61
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Pelsser, Antoon André Jean
3
Eberlein, Ernst
2
Fontana, Claudio
2
Jarrow, Robert A.
2
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1
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1
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1
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1
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Finance and stochastics
Review of derivatives research
NBER working paper series
100
Working paper / National Bureau of Economic Research, Inc.
95
Journal of banking & finance
86
NBER Working Paper
85
International journal of theoretical and applied finance
68
The journal of fixed income
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
64
Journal of financial economics
56
The journal of finance : the journal of the American Finance Association
47
Working paper
45
The review of financial studies
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Finance and economics discussion series
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Journal of financial and quantitative analysis : JFQA
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Journal of international money and finance
31
The journal of derivatives : the official publication of the International Association of Financial Engineers
31
Journal of empirical finance
30
Working paper series / European Central Bank
30
Journal of monetary economics
27
Journal of econometrics
24
The journal of futures markets
24
Discussion papers / CEPR
23
International review of economics & finance : IREF
23
Staff reports / Federal Reserve Bank of New York
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Working papers series / Federal Reserve Bank of San Francisco
22
Applied financial economics
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Discussion paper
21
Finance research letters
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Management science : journal of the Institute for Operations Research and the Management Sciences
21
The European journal of finance
21
International review of financial analysis
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics
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CESifo working papers
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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
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:
3
Yield curves from different bond data sets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
- In:
Review of derivatives research
23
(
2020
)
2
,
pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
Saved in:
4
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
Saved in:
5
Forward transition rates
Buchardt, Kristian
;
Furrer, Christian
;
Steffensen, Mogens
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
Saved in:
6
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:
7
Long-term factorization in Heath-Jarrow-Morton models
Qin, Likuan
;
Linetsky, Vadim
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 621-641
Persistent link: https://www.econbiz.de/10011945879
Saved in:
8
Explosion in the quasi-Gaussian HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
Saved in:
9
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:
10
Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk
;
Larsen, Kasper
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
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