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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Review of derivatives research"
~subject:"Derivat"
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Derivat
Yield curve
141
Zinsstruktur
141
Theorie
68
Theory
68
Option pricing theory
58
Optionspreistheorie
58
Derivative
35
Interest rate derivative
32
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32
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1
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1
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1
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1
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1
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International journal of theoretical and applied finance
Review of derivatives research
Journal of banking & finance
15
Applied mathematical finance
10
Journal of financial economics
9
The journal of fixed income
9
The journal of futures markets
9
The journal of computational finance
8
Quantitative finance
7
Journal of financial and quantitative analysis : JFQA
6
International review of financial analysis
5
Journal of empirical finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
NBER Working Paper
5
NBER working paper series
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The European journal of finance
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Journal of mathematical finance
4
Journal of money, credit and banking : JMCB
4
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Annual review of financial economics
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Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
3
Discussion paper / Centre for Economic Policy Research
3
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European journal of operational research : EJOR
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Finance and economics discussion series
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Finance and stochastics
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Journal of international financial markets, institutions & money
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Lecture Notes in Economics and Mathematical Systems
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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The journal of real estate finance and economics
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Williams College Economics Department working paper series
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Working paper / National Bureau of Economic Research, Inc.
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Advances in futures and options research : a research annual
2
Applied economics letters
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ECONIS (ZBW)
35
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1
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
2
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:
3
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
4
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
5
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
6
Inflation, central bank and short-term interest rates : A new model with calibration to market data
Antonacci, Flavia
;
Costantini, Cristina
;
D'Ippoliti, …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012887366
Saved in:
7
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
8
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
9
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:
10
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
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