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~isPartOf:"The journal of computational finance"
~subject:"Geldpolitik"
~subject:"Interest rate derivative"
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Geldpolitik
Interest rate derivative
Yield curve
29
Zinsstruktur
29
Option pricing theory
23
Optionspreistheorie
23
Zinsderivat
15
Stochastic process
10
Stochastischer Prozess
10
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8
Derivative
8
Theorie
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Theory
8
Swap
7
Volatility
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Volatilität
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Interest rate
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Zins
6
Monte Carlo simulation
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Monte-Carlo-Simulation
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Arbitrage Pricing
3
Arbitrage pricing
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Anleihe
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Bond
2
Credit rating
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Credit risk
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Kreditrisiko
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Kreditwürdigkeit
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Modellierung
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Monte Carlo
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Scientific modelling
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calibration
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finite difference
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stochastic volatility
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swaptions
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ANOVA
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Bermudan products
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English
15
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Joshi, Mark S.
2
Korn, Ralf
2
Schoenmakers, John
2
Andersen, Leif B. G.
1
Aspremont, Alexandre d'
1
Bhuruth, Muddun
1
Brotherton-Ratcliffe, Rupert
1
Coonjobeharry, Radha Krishn
1
Coskun, Sema
1
Denson, Nick
1
Desmettre, Sascha
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Gogala, Jaka
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Kennedy, Joanne E.
1
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Kurbanmuradov, O.
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Liang, Qian
1
Lopes, Sara Dutra
1
Lutz, Matthias
1
Papapantoleon, Antonis
1
Rebonato, Riccardo
1
Reisinger, Christoph
1
Sabelfeld, K.
1
Sidenius, Jakob
1
Skovmand, David
1
Tangman, Désiré Yannick
1
Vázquez, Carlos
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Wissmann, Rasmus
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The journal of computational finance
NBER working paper series
46
Working paper / National Bureau of Economic Research, Inc.
43
Working paper series / European Central Bank
42
Discussion paper / Centre for Economic Policy Research
35
NBER Working Paper
35
Journal of banking & finance
34
Journal of international money and finance
30
International journal of theoretical and applied finance
28
Journal of monetary economics
28
Finance and economics discussion series
25
Working papers / The Levy Economics Institute
25
Applied economics
24
Working papers / Bank for International Settlements
24
Working papers series / Federal Reserve Bank of San Francisco
24
Discussion papers / CEPR
23
Journal of money, credit and banking : JMCB
23
Economics letters
22
Journal of economic dynamics & control
21
Working paper
20
Journal of financial economics
19
Staff reports / Federal Reserve Bank of New York
19
The journal of fixed income
19
Economic modelling
18
ECB Working Paper
17
IMF working papers
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Staff working paper / Bank of Canada
16
Applied economics letters
15
Discussion paper
15
The North American journal of economics and finance : a journal of financial economics studies
15
The journal of futures markets
14
CESifo working papers
13
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
CAMA working paper series
12
IMES discussion paper series / Englische Ausgabe
12
International journal of central banking : IJCB
12
Journal of international financial markets, institutions & money
12
Journal of macroeconomics
12
Staff working papers / Bank of England
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
5
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
6
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
7
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
8
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
9
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
10
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
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