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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Option pricing theory"
~subject:"Theory"
~type_genre:"Article in journal"
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Option pricing theory
Theory
Interest rate derivative
33
Zinsderivat
33
Yield curve
26
Zinsstruktur
26
Optionspreistheorie
17
Theorie
14
Derivat
10
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interest rate derivatives
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International journal of theoretical and applied finance
The journal of futures markets
35
The journal of computational finance
22
Journal of banking & finance
18
Advances in futures and options research : a research annual
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
The journal of fixed income
17
Finance and stochastics
15
Applied mathematical finance
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Review of derivatives research
12
Review of futures markets
10
International journal of financial engineering
9
The review of financial studies
9
Journal of economic dynamics & control
7
Journal of financial and quantitative analysis : JFQA
7
Journal of financial economics
7
The journal of finance : the journal of the American Finance Association
7
Journal of mathematical finance
6
European journal of operational research : EJOR
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Finance : revue de l'Association Française de Finance
5
Quantitative finance
5
Risks : open access journal
5
The European journal of finance
5
Applied economics
4
Economics letters
4
Global finance journal
4
International review of financial analysis
4
Journal of business economics : JBE
4
Advances in Pacific Basin financial markets
3
The journal of business : B
3
Annual review of financial economics
2
Asia Pacific journal of management : APJM ; a publication of the Faculty of Business Administration, National University of Singapore
2
Economic modelling
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
2
European financial management : the journal of the European Financial Management Association
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Finance research letters
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Financial analysts' journal : FAJ
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Financial engineering and the Japanese markets
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Financial markets and portfolio management
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ECONIS (ZBW)
28
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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
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:
4
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:
5
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
6
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:
7
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
8
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:
9
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:
10
The multi-curve potential model
Nguyen, The Anh
;
Seifried, Frank Thomas
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011404390
Saved in:
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