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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
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Search: subject_exact:"Zinsstrukturmodell"
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Yield curve
94
Zinsstruktur
94
Theorie
68
Theory
68
Option pricing theory
39
Optionspreistheorie
39
Stochastic process
22
Stochastischer Prozess
22
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19
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19
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14
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Chiarella, Carl
11
Platen, Eckhard
8
Schlögl, Erik
7
Nikitopoulos, Christina Sklibosios
6
Eberlein, Ernst
4
Filipović, Damir
4
Levendorskij, Sergej Z.
3
Rutkowski, Marek
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Teichmann, Josef
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2
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2
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2
Gouriéroux, Christian
2
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2
Hsiao, Chih-ying
2
Jarrow, Robert A.
2
Kennedy, D. P.
2
Kou, Steven
2
Monfort, Alain
2
Musiela, Marek
2
Musti, Silvana
2
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2
Rogers, Leonard C. G.
2
Runggaldier, Wolfgang J.
2
Scaillet, Olivier
2
Tô, Thuy-duong
2
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1
Akahori, Jirô
1
Alfeus, Mesias
1
Aquilina, J.
1
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1
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1
Bielecki, Tomasz R.
1
Bojarčenko, Svetlana I.
1
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1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
NBER working paper series
265
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
117
Journal of financial economics
116
International journal of theoretical and applied finance
111
Working paper series / European Central Bank
108
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92
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85
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84
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83
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80
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76
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72
Journal of monetary economics
72
Journal of empirical finance
71
Applied financial economics
68
Journal of economic dynamics & control
67
International review of financial analysis
64
Working papers series / Federal Reserve Bank of San Francisco
64
Applied economics letters
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Journal of financial and quantitative analysis : JFQA
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58
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58
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The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
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52
Finance and stochastics
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ECONIS (ZBW)
94
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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
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
2
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
3
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
4
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
5
Stylised properties of the interest rate term structure under the benchmark approach
Fergusson, Kevin
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344800
Saved in:
6
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
7
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
8
Alternative term structure models for reviewing expectations puzzles
Nikitopoulos, Christina Sklibosios
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009564459
Saved in:
9
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
10
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
To, Thuy-duong
-
2011
Persistent link: https://www.econbiz.de/10009564612
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