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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"The journal of computational finance"
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Search: subject_exact:"Zinstermingeschäft"
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Interest rate derivative
46
Zinsderivat
46
Theorie
22
Theory
22
Option pricing theory
21
Optionspreistheorie
21
Yield curve
20
Zinsstruktur
20
Derivat
13
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7
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Pelsser, Antoon André Jean
5
Rebonato, Riccardo
3
Chiang, Raymond
2
Grasselli, Martino
2
Joshi, Mark S.
2
Kennedy, Joanne E.
2
Kolb, Robert W.
2
Korn, Ralf
2
Moraleda Novo, Juan Manuel
2
Piterbarg, Vladimir V.
2
Schoenmakers, John
2
Vorst, Ton
2
Alfeus, Mesias
1
Andersen, Leif B. G.
1
Arak, Marcelle V.
1
Aspremont, Alexandre d'
1
Bacon, Peter W.
1
Benninga, Simon
1
Bhuruth, Muddun
1
Bouwknegt, Pieter
1
Bouwman, Tony
1
Brotherton-Ratcliffe, Rupert
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Carabini, Christopher E.
1
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1
Coskun, Sema
1
Da Foncesca, José
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Dale, Charles J.
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1
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1
Desmettre, Sascha
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1
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Esteghamat, Kian
1
Franses, Philip Hans
1
Gerlach-Kristen, Petra
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Gogala, Jaka
1
Hunt, Philip A.
1
Jaeckel, Peter
1
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Interest rate futures : concepts and issues
Journal of economic dynamics & control
Report / Erasmus Center for Financial Research, Erasmus University
The journal of computational finance
The journal of futures markets
137
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
24
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Europäische Hochschulschriften / 5
13
Journal of financial economics
13
Review of derivatives research
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Working paper
11
SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Journal of mathematical finance
7
Quantitative finance
7
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ECONIS (ZBW)
46
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1
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
2
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:
3
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
4
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
5
Interest rate swaps and corporate default
Jermann, Urban J.
;
Yue, Vivian Z.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 104-120
Persistent link: https://www.econbiz.de/10011973928
Saved in:
6
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:
7
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
8
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
9
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
10
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
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