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~isPartOf:"Gabler Edition Wissenschaft"
~isPartOf:"The journal of futures markets"
~subject:"Interest rate derivative"
~subject:"Interest rate risk"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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Interest rate derivative
Interest rate risk
Yield curve
67
Zinsstruktur
67
Volatility
24
Volatilität
24
USA
23
United States
22
Theorie
21
Theory
21
Option pricing theory
16
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16
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16
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Chen, Son-nan
2
Lekkos, Ilias
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Milas, Costas
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1
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1
Brooks, Robert
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Cline, Brandon N.
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Fan, Longzhen
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Fehle, Frank
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Hou, Xin
1
Kane, Alex
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Leung, Kwai S.
1
Liu, Xiaoxi
1
Marcus, Alan J.
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1
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1
Sun, Qian
1
Teterin, Pavel
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Gabler Edition Wissenschaft
The journal of futures markets
International journal of theoretical and applied finance
26
Journal of banking & finance
19
The journal of fixed income
17
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
International journal of financial engineering
11
The journal of finance : the journal of the American Finance Association
11
Applied mathematical finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Journal of financial economics
8
Quantitative finance
8
Applied financial economics
7
International review of financial analysis
7
Journal of mathematical finance
7
Applied economics
6
Discussion paper
6
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6
IMF working papers
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Review of derivatives research
6
Risks : open access journal
6
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6
Advances in futures and options research : a research annual
5
Journal of financial and quantitative analysis : JFQA
5
Journal of international money and finance
5
SFB 649 discussion paper
5
The European journal of finance
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of economic dynamics & control
4
Journal of international financial markets, institutions & money
4
NBER Working Paper
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NBER working paper series
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Research in finance
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ECONIS (ZBW)
18
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1
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
2
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
3
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
4
Stochastic skew in the interest rate cap market
Leung, Kwai S.
;
Ng, Hon Y.
;
Wong, Hoi Ying
- In:
The journal of futures markets
34
(
2014
)
12
,
pp. 1146-1169
Persistent link: https://www.econbiz.de/10010508673
Saved in:
5
A random field LIBOR market model
Wu, Tao L.
;
Xu, Shengqiang
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 580-606
Persistent link: https://www.econbiz.de/10010371410
Saved in:
6
Maturity effects in the Mexican interest rate futures market
Gurrola, Pedro
;
Herrerías, Renata
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10008908357
Saved in:
7
Valuation of floating range notes in a LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of futures markets
28
(
2008
)
7
,
pp. 697-710
Persistent link: https://www.econbiz.de/10003715122
Saved in:
8
Equity swaps in a LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of futures markets
27
(
2007
)
9
,
pp. 893-920
Persistent link: https://www.econbiz.de/10003518527
Saved in:
9
Common risk factors in the U.S. and UK interest rate swap markets : evidence from a nonlinear vector autoregression approach
Lekkos, Ilias
;
Milas, Costas
- In:
The journal of futures markets
24
(
2004
)
3
,
pp. 221-250
Persistent link: https://www.econbiz.de/10001968617
Saved in:
10
The components of interest rate swap spreads : theory and international evidence
Fehle, Frank
- In:
The journal of futures markets
23
(
2002
)
4
,
pp. 347-387
Persistent link: https://www.econbiz.de/10001765135
Saved in:
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