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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditderivat"
~subject:"Swap"
~subject:"Theory"
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Kreditderivat
Swap
Theory
Yield curve
111
Zinsstruktur
111
Theorie
71
Option pricing theory
51
Optionspreistheorie
51
Stochastic process
34
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International journal of theoretical and applied finance
NBER working paper series
848
NBER Working Paper
778
Working paper / National Bureau of Economic Research, Inc.
530
CESifo working papers
462
Discussion paper / Centre for Economic Policy Research
383
Working paper series / European Central Bank
324
Working paper
292
IMF working papers
268
Journal of economic dynamics & control
262
Journal of monetary economics
238
Journal of macroeconomics
195
IMF working paper
191
Economics letters
189
Economic modelling
179
Journal of money, credit and banking : JMCB
174
Journal of banking & finance
173
Journal of international money and finance
171
Discussion papers / CEPR
155
European economic review : EER
145
Finance and economics discussion series
140
Macroeconomic dynamics
134
ECB Working Paper
117
Discussion paper
116
Journal of international economics
116
Discussion paper series / IZA
114
SFB 649 discussion paper
112
IMF Working Paper
107
Applied economics
101
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
100
Working papers series / Federal Reserve Bank of San Francisco
97
Discussion paper / Tinbergen Institute
96
Staff reports / Federal Reserve Bank of New York
93
The American economic review
87
CESifo Working Paper Series
84
The journal of fixed income
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
80
Journal of financial economics
79
Review of economic dynamics
77
Staff working paper / Bank of Canada
74
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ECONIS (ZBW)
84
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1
Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic
interest
rate
Yang, Ben-Zhang
;
Yue, Jia
;
Huang, Nan-Jing
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012030903
Saved in:
2
Back-of-the-envelope swaptions in a very parsimonious multi-curve
interest
rate
model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
3
Note on the Smith-Wilson
interest
rate
curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
4
Valuing early-exercise
interest-rate
options with multi-factor affine models
Jaimungal, Sebastian
;
Surkov, Vladimir
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
Saved in:
5
Arbitrage-free valuation of bilateral counterparty risk for
interest-rate
products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
6
Utility indifference pricing of
interest-rate
guarantees
Benth, Fred Espen
;
Proske, Frank
- In:
International journal of theoretical and applied finance
12
(
2009
)
1
,
pp. 63-82
Persistent link: https://www.econbiz.de/10003847563
Saved in:
7
Analytic backward induction of option cash flows: a new application paradigm for the Markovian
interest
rate
models
Gan, Junwu
- In:
International journal of theoretical and applied finance
8
(
2005
)
8
,
pp. 1019-1057
Persistent link: https://www.econbiz.de/10003280033
Saved in:
8
Public
debt
management and foreign currency denominated bonds
Ceccacci, Silvia
;
Marchesiani, Alessandro
;
Pecchi, Lorenzo
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 763-770
Persistent link: https://www.econbiz.de/10003564628
Saved in:
9
A complete Yield curve description of a Markov
interest
rate
model
Elliott, Robert J.
;
Mamon, Rogemar S.
- In:
International journal of theoretical and applied finance
6
(
2003
)
4
,
pp. 317-326
Persistent link: https://www.econbiz.de/10001779812
Saved in:
10
Renormalization of Black-Scholes equation for stochastically fluctuating
interest
rate
Muslimov, Alexander G.
;
Silantʹev, Nikolai A.
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 621-634
Persistent link: https://www.econbiz.de/10001600364
Saved in:
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