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~isPartOf:"Journal of financial economics"
~subject:"Interest rate derivative"
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Interest rate derivative
Yield curve
116
Zinsstruktur
116
Theorie
50
Theory
50
Risikoprämie
40
Risk premium
40
Estimation
30
Schätzung
30
CAPM
26
Credit risk
26
Kreditrisiko
26
Capital income
21
Kapitaleinkommen
21
USA
19
United States
19
Volatility
15
Volatilität
15
Term structure
14
Corporate bond
13
Unternehmensanleihe
13
Geldpolitik
12
Monetary policy
12
Interest rate
11
Public bond
11
Risiko
11
Risk
11
Zins
11
Öffentliche Anleihe
11
Bond
9
Derivat
9
Derivative
9
Anleihe
8
Government securities
8
Option pricing theory
8
Optionspreistheorie
8
Staatspapier
8
Zinsderivat
8
Business cycle
7
Credit spreads
7
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Article
8
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English
8
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Amin, Kaushik I.
1
Bakshi, Gurdip S.
1
Crosby, John
1
Feldhütter, Peter
1
Filipović, Damir
1
Gao, Xiaohui
1
Gupta, Anurag
1
Hansen, Jorge W.
1
Jacobs, Kris
1
Karoui, Lotfi
1
Klingler, Sven
1
Lando, David
1
Leippold, Markus
1
Morton, Andrew J.
1
Strømberg, Jacob
1
Subrahmanyam, Marti G.
1
Syrstad, Olav
1
Trolle, Anders B.
1
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Journal of financial economics
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of fixed income
14
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
International review of financial analysis
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers / BGSE
3
Gabler Edition Wissenschaft
3
IMF working papers
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ECONIS (ZBW)
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Life after LIBOR
Klingler, Sven
;
Syrstad, Olav
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
Saved in:
3
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
4
The term structure of interbank risk
Filipović, Damir
;
Trolle, Anders B.
- In:
Journal of financial economics
109
(
2013
)
3
,
pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
Saved in:
5
Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
6
Decomposing swap spreads
Feldhütter, Peter
;
Lando, David
- In:
Journal of financial economics
88
(
2008
)
2
,
pp. 375-405
Persistent link: https://www.econbiz.de/10003720318
Saved in:
7
An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
Saved in:
8
Implied volatility functions in arbitrage-free term structure models
Amin, Kaushik I.
- In:
Journal of financial economics
35
(
1994
)
2
,
pp. 141-180
Persistent link: https://www.econbiz.de/10001159961
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