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~isPartOf:"The journal of computational finance"
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Search: subject_exact:"Finanzswap"
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Swap
54
Option pricing theory
22
Optionspreistheorie
22
Credit risk
19
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19
Theorie
19
Theory
19
Derivat
15
Derivative
15
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14
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54
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Carr, Peter
4
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2
Lee, Roger
2
Pietersz, Raoul
2
Rebonato, Riccardo
2
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2
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2
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1
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Finance and stochastics
The journal of computational finance
The journal of fixed income
International journal of theoretical and applied finance
43
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Journal of banking & finance
26
NBER working paper series
24
Applied mathematical finance
23
The journal of financial crises
22
International review of financial analysis
21
The journal of futures markets
19
Working paper / National Bureau of Economic Research, Inc.
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Journal of financial economics
17
NBER Working Paper
17
Journal of international financial markets, institutions & money
15
Review of derivatives research
15
International review of economics & finance : IREF
14
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13
European journal of operational research : EJOR
12
Finance research letters
11
Journal of international money and finance
11
Journal of securities operations & custody
11
Management science : journal of the Institute for Operations Research and the Management Sciences
11
Applied economics
10
European financial management : the journal of the European Financial Management Association
10
Journal of financial and quantitative analysis : JFQA
10
The European journal of finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
The review of financial studies
10
Discussion paper / Centre for Economic Policy Research
9
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Economics letters
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International journal of financial engineering
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Journal of financial services research : JFSR
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
54
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa
;
Shiraya, Kenichiro
- In:
Finance and stochastics
23
(
2019
)
2
,
pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
Saved in:
3
What drives systemic state credit risk? : evidence from the State Credit Default Swap (CDS) market
Liu, Sheen
;
Wu, Chunchi
;
Yeh, Chung-Ying
;
Yoo, Woongsun
- In:
The journal of fixed income
28
(
2019
)
4
,
pp. 5-45
Persistent link: https://www.econbiz.de/10012251375
Saved in:
4
Bermudan swaption model risk analysis : a local volatility approach
Jabłecki, Juliusz
- In:
The journal of computational finance
22
(
2018
)
2
,
pp. 101-131
Persistent link: https://www.econbiz.de/10011976669
Saved in:
5
A robust decision support approach to portfolio risk reduction based on credit default swap
Wu, Dexiang
;
Wu, Desheng Dash
- In:
The journal of fixed income
27
(
2018
)
3
,
pp. 86-95
Persistent link: https://www.econbiz.de/10011803854
Saved in:
6
Efficient pricing and super-replication of corridor variance swaps and related products
Burgard, Christoph
;
Torné, Olaf
- In:
The journal of computational finance
21
(
2017/2018
)
4
,
pp. 79-96
Persistent link: https://www.econbiz.de/10011848417
Saved in:
7
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
8
Hedging systematic risk in high yield portfolios with a synthetic overlay : a comparative analysis of equity instruments vs. credit default swaps
Dor, Arik Ben
;
Guan, Jingling
- In:
The journal of fixed income
26
(
2017
)
4
,
pp. 5-24
Persistent link: https://www.econbiz.de/10011684756
Saved in:
9
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
10
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
Feng, Qian
;
Jain, Shashi
;
Karlsson, Patrik
;
Kandhai, Drona
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 139-172
Persistent link: https://www.econbiz.de/10011639641
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