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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Estimation"
~subject:"Yield curve"
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Search: subject_exact:"Interest rate swap"
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Estimation
Yield curve
Interest rate derivative
12
Zinsderivat
12
Theorie
9
Theory
9
Zinsstruktur
9
Option pricing theory
6
Optionspreistheorie
6
Volatility
4
Volatilität
4
Stochastic process
3
Stochastischer Prozess
3
Swap
3
Credit risk
2
Currency derivative
2
Kreditrisiko
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Libor
2
Währungsderivat
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CAPM
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Credit rating
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Derivat
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LIBOR rate models
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Markov chain
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Markov-Kette
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Theory of interest
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Two-country model
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Zinstheorie
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Zwei-Länder-Modell
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admissibility
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affine models
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affine processes
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analytically tractable models
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conditional Markov chain
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coupon bond options
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credit risk
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forward price models
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forward swap rate
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market model
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9
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Cotton, Peter
1
Eberlein, Ernst
1
Fouque, Jean-Pierre
1
Galluccio, S.
1
Grbac, Zorana
1
Huang, Z.
1
Keller‐Ressel, Martin
1
Kim, Don H.
1
Kunitomo, Naoto
1
Li, Libo
1
Ly, J.-M.
1
Papanicolaou, George
1
Papapantoleon, Antonis
1
Ritchken, Peter H.
1
Rutkowski, Marek
1
Sankarasubramanian, L.
1
Scaillet, Olivier
1
Sircar, Ronnie
1
Slinko, Irina
1
Takahashi, Akihiko
1
Teichmann, Josef
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Mathematical finance : an international journal of mathematics, statistics and financial theory
International journal of theoretical and applied finance
27
The journal of computational finance
16
The journal of futures markets
15
Journal of banking & finance
14
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Applied financial economics
10
Applied mathematical finance
10
The journal of finance : the journal of the American Finance Association
10
International journal of financial engineering
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Journal of financial economics
8
International review of financial analysis
7
Journal of mathematical finance
7
Quantitative finance
7
SFB 649 discussion paper
7
Advances in futures and options research : a research annual
6
Discussion paper / B
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
European journal of operational research : EJOR
5
Journal of international money and finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
Working papers / The Levy Economics Institute
5
BIS working papers
4
CoFE discussion papers
4
Economics letters
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Asia-Pacific financial markets
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1
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
2
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
3
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
4
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
5
On finite dimensional realizations of two-country intereste rate models
Slinko, Irina
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10003955690
Saved in:
6
Theory and calibration of swap market models
Galluccio, S.
;
Ly, J.-M.
;
Huang, Z.
;
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
17
(
2007
)
1
,
pp. 111-141
Persistent link: https://www.econbiz.de/10003543112
Saved in:
7
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
8
The asymptotic expansion approach to the valuation of interest rate contingent claims
Kunitomo, Naoto
;
Takahashi, Akihiko
- In:
Mathematical finance : an international journal of …
11
(
2001
)
1
,
pp. 117-151
Persistent link: https://www.econbiz.de/10001650922
Saved in:
9
Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H.
- In:
Mathematical finance : an international journal of …
5
(
1995
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
Saved in:
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