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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Zinsstruktur"
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Search: subject_exact:"Zinsstrukturmodell"
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Zinsstruktur
Yield curve
25
Stochastic process
10
Stochastischer Prozess
10
Volatility
9
Volatilität
9
Theorie
7
Theory
7
Option pricing theory
6
Optionspreistheorie
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Interest rate derivative
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Zinsderivat
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Derivat
4
Derivative
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Estimation
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Schätzung
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Anleihe
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Bond
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Commodity derivative
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Credit derivative
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Interest rate
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Kreditderivat
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Portfolio selection
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Portfolio-Management
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Zins
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1988-2004
2
Analysis
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Arbitrage Pricing
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Arbitrage pricing
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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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Oil price
2
Petroleum
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Risikoprämie
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Chiarella, Carl
11
Platen, Eckhard
7
Schlögl, Erik
7
Nikitopoulos, Christina Sklibosios
6
Chege Maina, Samuel
2
Fanelli, Viviana
2
Fergusson, Kevin
2
Hsiao, Chih-ying
2
Musti, Silvana
2
Pilz, Kay Frederik
2
Tô, Thuy-duong
2
Alfeus, Mesias
1
Beyna, Ingo
1
Bruti-Liberati, Nicola
1
Cheng, Benjamin
1
Grasselli, Martino
1
Hung, Hing
1
Kang, Boda
1
Karlsson, Patrik
1
Krippner, Leo
1
Miller, Shane
1
Ming Xi Huang
1
Nikitopoulos, Christina
1
Pilz, K. F.
1
Tappe, Stefan
1
To, Thuy-duong
1
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
NBER working paper series
265
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
117
Journal of financial economics
116
International journal of theoretical and applied finance
111
Working paper series / European Central Bank
108
Finance and economics discussion series
106
IMF working papers
105
Journal of money, credit and banking : JMCB
92
Working paper
91
Economics letters
85
International review of economics & finance : IREF
85
The review of financial studies
84
Applied economics
83
Finance research letters
80
The journal of finance : the journal of the American Finance Association
76
Economic modelling
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Journal of monetary economics
72
Journal of empirical finance
71
Mathematical finance : an international journal of mathematics, statistics and financial theory
69
Applied financial economics
68
Journal of economic dynamics & control
67
International review of financial analysis
64
Working papers series / Federal Reserve Bank of San Francisco
64
Applied economics letters
61
Journal of financial and quantitative analysis : JFQA
60
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59
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Journal of international financial markets, institutions & money
58
The journal of futures markets
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CESifo working papers
57
ECB Working Paper
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The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
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Finance and stochastics
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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:
22
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:
23
A two-factor model for low interest rate regimes
Miller, Shane
;
Platen, Eckhard
-
2004
Persistent link: https://www.econbiz.de/10002253959
Saved in:
24
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:
25
An alternative interest rate term structure model
Platen, Eckhard
-
2003
Persistent link: https://www.econbiz.de/10002250865
Saved in:
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