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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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Interest rate derivative
32
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Theorie
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Chen, Son-nan
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Journal of economic dynamics & control
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
137
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
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Journal of financial economics
13
Review of derivatives research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
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SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
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Economics letters
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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Working papers / The Levy Economics Institute
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Applied economics
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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Journal of mathematical finance
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ECONIS (ZBW)
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1
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
2
Interest rate swaps and corporate default
Jermann, Urban J.
;
Yue, Vivian Z.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 104-120
Persistent link: https://www.econbiz.de/10011973928
Saved in:
3
Calibrating short interest rate models in negative rate environments
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 80-92
Persistent link: https://www.econbiz.de/10011687429
Saved in:
4
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
5
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
Saved in:
6
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
7
Valuing interest rate swaps using overnight indexed swap (OIS) discounting
Smith, Donald J.
- In:
The journal of derivatives : the official publication …
20
(
2013
)
4
,
pp. 49-59
Persistent link: https://www.econbiz.de/10009760534
Saved in:
8
A flexible matrix Libor model with smiles
Da Foncesca, José
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
Saved in:
9
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
10
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
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