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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivat"
~subject:"Kreditderivat"
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Search: subject_exact:"Term+structure+of+interest+rates"
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Derivat
Kreditderivat
Yield curve
111
Zinsstruktur
111
Theorie
51
Theory
51
Option pricing theory
40
Optionspreistheorie
40
Interest rate derivative
26
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26
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25
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Brigo, Damiano
2
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2
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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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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
Journal of banking & finance
24
The journal of fixed income
16
The journal of futures markets
11
Applied mathematical finance
10
Journal of financial and quantitative analysis : JFQA
10
Review of derivatives research
10
International review of financial analysis
9
Journal of empirical finance
9
Journal of financial economics
9
Quantitative finance
8
Research paper series / Swiss Finance Institute
8
The European journal of finance
8
The journal of computational finance
8
Journal of international financial markets, institutions & money
7
Journal of international money and finance
7
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
NBER Working Paper
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
The journal of derivatives : the official publication of the International Association of Financial Engineers
7
Economic modelling
6
Finance and economics discussion series
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Finance research letters
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International review of economics & finance : IREF
6
NBER working paper series
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Discussion paper / Tinbergen Institute
5
Journal of mathematical finance
5
SpringerLink / Bücher
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The review of financial studies
5
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5
Working paper / National Bureau of Economic Research, Inc.
5
Discussion paper / Centre for Economic Policy Research
4
Energy economics
4
European journal of operational research : EJOR
4
Fisher College of Business working paper series
4
HKIMR working paper
4
Journal of money, credit and banking : JMCB
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Journal of risk and financial management : JRFM
4
Lecture notes in economics and mathematical systems : LNEMS
4
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
28
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1
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:
2
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:
3
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:
4
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:
5
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:
6
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
7
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:
8
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
9
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:
10
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej
;
Muchorski, Rafał
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Saved in:
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