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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Interest rate derivative"
~subject:"Stochastischer Prozess"
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Interest rate derivative
Stochastischer Prozess
Yield curve
25
Zinsstruktur
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10
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9
Volatilität
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Theorie
7
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1988-2004
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Erdöl
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Euler-Maruyama stochastic integral approximation
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HJM (Heath-Jarrow-Morton) model
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Interest rate risk
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Mathematical analysis
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Chiarella, Carl
7
Nikitopoulos, Christina Sklibosios
5
Schlögl, Erik
4
Platen, Eckhard
3
Chege Maina, Samuel
2
Fanelli, Viviana
2
Musti, Silvana
2
Alfeus, Mesias
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Beyna, Ingo
1
Bruti-Liberati, Nicola
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Kang, Boda
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Karlsson, Patrik
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Pilz, Kay Frederik
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Tappe, Stefan
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
45
Finance and stochastics
23
The journal of computational finance
21
Journal of banking & finance
20
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
The journal of futures markets
18
Applied mathematical finance
17
The journal of fixed income
17
The review of financial studies
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of finance : the journal of the American Finance Association
13
Quantitative finance
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International journal of financial engineering
11
Journal of financial economics
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Insurance / Mathematics & economics
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Journal of mathematical finance
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Risks : open access journal
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Economic modelling
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Journal of economic dynamics & control
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Review of derivatives research
9
Applied financial economics
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Discussion paper / B
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Interest rate modelling after the financial crisis
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Working paper
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European journal of operational research : EJOR
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International review of economics & finance : IREF
7
International review of financial analysis
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NBER Working Paper
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NBER working paper series
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SpringerLink / Bücher
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Advances in futures and options research : a research annual
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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
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
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
6
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:
7
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
Saved in:
8
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
Saved in:
9
Affine realizations for Lévy driven interest rate models with real-world forward rate dynamics
Platen, Eckhard
;
Tappe, Stefan
-
2011
Persistent link: https://www.econbiz.de/10009564622
Saved in:
10
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
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