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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Volatility"
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Search: subject_exact:"Zinsstrukturmodell"
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Volatility
Yield curve
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Zinsstruktur
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Stochastic process
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Stochastischer Prozess
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Volatilität
9
Theorie
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Theory
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Interest rate derivative
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Zinsderivat
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1988-2004
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Analysis
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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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Chiarella, Carl
7
Nikitopoulos, Christina Sklibosios
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Chege Maina, Samuel
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Schlögl, Erik
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Tô, Thuy-duong
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Hung, Hing
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Kang, Boda
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Journal of banking & finance
24
The journal of futures markets
23
International journal of theoretical and applied finance
17
Journal of financial economics
15
Working paper / National Bureau of Economic Research, Inc.
15
NBER working paper series
14
The review of financial studies
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Journal of empirical finance
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NBER Working Paper
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Journal of international money and finance
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Economic modelling
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper series / Swiss Finance Institute
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of fixed income
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Economics letters
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Finance research letters
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Applied financial economics
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Journal of econometrics
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The journal of computational finance
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The journal of finance : the journal of the American Finance Association
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Finance and economics discussion series
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HWWA discussion paper
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International review of financial analysis
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Journal of international financial markets, institutions & money
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Journal of money, credit and banking : JMCB
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Asia-Pacific financial markets
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CREATES research paper
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Finance and stochastics
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International journal of forecasting
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1
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:
2
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:
3
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
Saved in:
4
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:
5
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:
6
The multifactor nature of the volatility of the eurodollar futures market
Chiarella, Carl
;
Tô, Thuy-duong
-
2005
Persistent link: https://www.econbiz.de/10002721727
Saved in:
7
The volatility structure of the fixed income market under the HJM framework : a nonlinear filtering approach
Chiarella, Carl
;
Hung, Hing
;
Tô, Thuy-duong
-
2005
Persistent link: https://www.econbiz.de/10002721773
Saved in:
8
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:
9
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl
;
Schlögl, Erik
;
Nikitopoulos, Christina
-
2004
Persistent link: https://www.econbiz.de/10002431669
Saved in:
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