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~isPartOf:"International journal of theoretical and applied finance"
~subject:"CAPM"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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CAPM
Stochastic process
Interest rate derivative
33
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Option pricing theory
17
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Theorie
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Hanton, Pierre
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Kerkhof, Franciscus Lambertus Johannes
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International journal of theoretical and applied finance
The journal of futures markets
15
Advances in futures and options research : a research annual
10
The review of financial studies
8
Applied mathematical finance
6
Finance and stochastics
6
The journal of finance : the journal of the American Finance Association
6
International journal of financial engineering
5
The journal of computational finance
5
The journal of fixed income
5
Journal of financial economics
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
European journal of operational research : EJOR
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Journal of financial and quantitative analysis : JFQA
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Finance : revue de l'Association Française de Finance
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Financial engineering and the Japanese markets
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Journal of banking & finance
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Journal of economic dynamics & control
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Review of derivatives research
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Review of futures markets
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Risks : open access journal
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Asia-Pacific financial markets
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Credit and capital markets : Kredit und Kapital
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Economic modelling
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European finance review : the official journal of the European Finance Association
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Financial analysts' journal : FAJ
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Journal of economic theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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Research in finance
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The European journal of finance
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The Journal of finance and data science : JFDS
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The North American journal of economics and finance : a journal of financial economics studies
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The financial review : the official publication of the Eastern Finance Association
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ECONIS (ZBW)
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1
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:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
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
Saved in:
4
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
5
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Saved in:
6
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
Saved in:
7
CMS, CMS spreads and similar options in the multi-factor HJM framework
Hanton, Pierre
;
Henrard, Marc
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009685893
Saved in:
8
Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
Saved in:
9
Correlation analysis in the libor and swap market model
De Malherbe, Etienne
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
Saved in:
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