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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
~subject:"Stochastic process"
~type_genre:"Article in journal"
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Kreditrisiko
Stochastic process
Interest rate derivative
33
Zinsderivat
33
Yield curve
26
Zinsstruktur
26
Option pricing theory
17
Optionspreistheorie
17
Theorie
14
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interest rate derivatives
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Avellaneda, Marco
1
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1
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Crépey, Stéphane
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Genaro, Alan de
1
Gerboud, Rémi
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1
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1
Hui, Cho H.
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Meyer-Brandis, Thilo
1
Ngor, Nathalie
1
Pallavicini, Andrea
1
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1
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International journal of theoretical and applied finance
Applied mathematical finance
6
Finance and stochastics
6
The journal of computational finance
6
International journal of financial engineering
5
Journal of banking & finance
5
European journal of operational research : EJOR
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Journal of economic dynamics & control
3
Journal of financial economics
3
Journal of mathematical finance
3
The journal of credit risk : published quarterly by Incisive Media
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of fixed income
3
The review of financial studies
3
Journal of economics and finance
2
Quantitative finance
2
Review of derivatives research
2
The journal of futures markets
2
Algorithmic finance
1
Central Bank review / Central Bank of the Republic of Turkey
1
Economic modelling
1
Financial markets and portfolio management
1
Journal / The Capco Institute : journal of financial transformation
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial services research : JFSR
1
Journal of macroeconomics
1
Journal of risk and financial management : JRFM
1
Mathematics and financial economics
1
Monetary and economic studies
1
Pacific-Basin finance journal
1
Research in finance
1
Review of quantitative finance and accounting
1
Risks : open access journal
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of finance : the journal of the American Finance Association
1
The journal of risk model validation
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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
Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane
;
Gerboud, Rémi
;
Grbac, Zorana
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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
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:
9
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:
10
Effect of asset value correlation on credit-linked note values
Hui, Cho H.
;
Lo, C. F.
- In:
International journal of theoretical and applied finance
5
(
2002
)
5
,
pp. 455-478
Persistent link: https://www.econbiz.de/10001687127
Saved in:
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