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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"Report / Erasmus Center for Financial Research, Erasmus University"
~isPartOf:"The journal of computational finance"
~subject:"Theorie"
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Interest rate derivative
39
Zinsderivat
39
Option pricing theory
19
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17
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17
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16
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12
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Pelsser, Antoon André Jean
4
Piterbarg, Vladimir V.
2
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1
Benninga, Simon
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Driessen, Joost
1
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1
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Jong, Frank de
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1
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1
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1
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Sidenius, Jakob
1
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1
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Interest rate futures : concepts and issues
Report / Erasmus Center for Financial Research, Erasmus University
The journal of computational finance
The journal of futures markets
32
Advances in futures and options research : a research annual
17
The journal of fixed income
17
International journal of theoretical and applied finance
14
Finance and stochastics
13
Journal of banking & finance
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Review of futures markets
9
The review of financial studies
9
Review of derivatives research
8
SSE EFI working paper series in economics and finance
8
Applied mathematical finance
6
Journal of economic dynamics & control
6
Journal of financial and quantitative analysis : JFQA
6
Discussion paper / B
5
Europäische Hochschulschriften / 5
5
Finance : revue de l'Association Française de Finance
5
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
SFB 649 discussion paper
5
The journal of finance : the journal of the American Finance Association
5
Working paper
5
Discussion paper / Tinbergen Institute
4
Economics letters
4
Journal of business economics : JBE
4
Journal of financial economics
4
Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
4
SpringerLink / Bücher
4
The European journal of finance
4
Working paper series / Centre for Practical Quantitative Finance
4
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
4
Bonn Econ Discussion Papers / BGSE
3
Discussion paper / Centre for Economic Policy Research
3
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
3
International review of financial analysis
3
NBER working paper series
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ECONIS (ZBW)
16
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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
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
3
Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
8
(
2004/2005
)
2
,
pp. 65-117
Persistent link: https://www.econbiz.de/10002597597
Saved in:
4
Risk-management methods for the Libor market model using semidefinite programming
Aspremont, Alexandre d'
- In:
The journal of computational finance
8
(
2004/2005
)
4
,
pp. 77-99
Persistent link: https://www.econbiz.de/10002990531
Saved in:
5
Computing deltas of callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
7
(
2004
)
3
,
pp. 107-144
Persistent link: https://www.econbiz.de/10002060746
Saved in:
6
Lognormal approximations to Libor market models
Kurbanmuradov, O.
;
Sabelfeld, K.
;
Schoenmakers, John
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
Saved in:
7
Mathematical foundation of convexity correction
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692631
Saved in:
8
Libor market models verus swap market models for pricing interest rate derivatives: an empirical analysis
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
-
2001
Persistent link: https://www.econbiz.de/10001692635
Saved in:
9
LIBOR market models in practice
Sidenius, Jakob
- In:
The journal of computational finance
3
(
2000
)
3
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
Saved in:
10
An investigation of cheapest-to-deliver on treasury bond futures contracts
Benninga, Simon
;
Wiener, Zvi
- In:
The journal of computational finance
2
(
1999
)
3
,
pp. 39-55
Persistent link: https://www.econbiz.de/10001638583
Saved in:
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