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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Interest rate derivative"
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Interest rate derivative
Yield curve
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Zinsstruktur
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Stochastic process
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Stochastischer Prozess
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Volatility
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Volatilität
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Theorie
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Zinsderivat
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1988-2004
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Euler-Maruyama stochastic integral approximation
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HJM (Heath-Jarrow-Morton) model
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Schlögl, Erik
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Alfeus, Mesias
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
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Journal of banking & finance
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The journal of finance : the journal of the American Finance Association
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Applied mathematical finance
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The review of financial studies
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Finance and stochastics
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Interest rate modelling after the financial crisis
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Journal of financial economics
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Journal of mathematical finance
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International review of financial analysis
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Advances in futures and options research : a research annual
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SFB 649 discussion paper
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Economics letters
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European journal of operational research : EJOR
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Applied financial economics letters
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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
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:
3
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
4
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:
5
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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