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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Derivative"
~subject:"Interest rate derivative"
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Search: subject_exact:"Zinsstrukturmodell"
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Interest rate derivative
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1988-2004
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Schlögl, Erik
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Nikitopoulos, Christina Sklibosios
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Alfeus, Mesias
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Chege Maina, Samuel
1
Cheng, Benjamin
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
42
Journal of banking & finance
26
The journal of fixed income
22
The journal of futures markets
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
The journal of computational finance
16
Applied mathematical finance
15
Journal of financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Review of derivatives research
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The journal of finance : the journal of the American Finance Association
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The review of financial studies
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Finance and stochastics
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International review of financial analysis
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International journal of financial engineering
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Journal of financial and quantitative analysis : JFQA
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Quantitative finance
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Working paper
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Applied financial economics
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Interest rate modelling after the financial crisis
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Journal of mathematical finance
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NBER Working Paper
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NBER working paper series
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Discussion paper / B
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Journal of empirical finance
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Journal of international financial markets, institutions & money
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Advances in futures and options research : a research annual
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Research paper series / Swiss Finance Institute
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Risks : open access journal
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SpringerLink / Bücher
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The European journal of finance
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Economics letters
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European journal of operational research : EJOR
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Journal of international money and finance
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Journal of money, credit and banking : JMCB
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Lecture notes in economics and mathematical systems : LNEMS
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SFB 649 discussion paper
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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
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
5
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:
6
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
Saved in:
7
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
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