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~isPartOf:"The journal of computational finance"
~subject:"Optionspreistheorie"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Lehrbuch"
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Optionspreistheorie
Interest rate derivative
22
Zinsderivat
22
Option pricing theory
18
Yield curve
14
Zinsstruktur
14
Theorie
10
Theory
10
Derivat
8
Derivative
8
Stochastic process
5
Stochastischer Prozess
5
Swap
5
Arbitrage Pricing
4
Arbitrage pricing
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Interest rate
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Simulation
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Estimation
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Anleihe
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Arbitrage
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Bermudan products
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Bermudan swaptions
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Bond
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Credit rating
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Development theory
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Entwicklungstheorie
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Estimation theory
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Aufsatz in Zeitschrift
Lehrbuch
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English
18
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Joshi, Mark S.
2
Korn, Ralf
2
Piterbarg, Vladimir V.
2
Rebonato, Riccardo
2
Schoenmakers, John
2
Andersen, Leif B. G.
1
Bhuruth, Muddun
1
Brotherton-Ratcliffe, Rupert
1
Coonjobeharry, Radha Krishn
1
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1
Denson, Nick
1
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1
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1
Kennedy, Joanne E.
1
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1
Kurbanmuradov, O.
1
Liang, Qian
1
Lutz, Matthias
1
Miltersen, Kristian R.
1
Papapantoleon, Antonis
1
Reisinger, Christoph
1
Sabelfeld, K.
1
Sidenius, Jakob
1
Skovmand, David
1
Tangman, Désiré Yannick
1
Wissmann, Rasmus
1
Zhao, Xiaoliang
1
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The journal of computational finance
International journal of theoretical and applied finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Review of derivatives research
10
Applied mathematical finance
9
Finance and stochastics
9
International journal of financial engineering
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Advances in futures and options research : a research annual
5
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Quantitative finance
4
Risks : open access journal
4
The journal of futures markets
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Global finance journal
3
Journal of financial economics
3
The journal of fixed income
3
The review of financial studies
3
Economic modelling
2
Finance research letters
2
Financial markets and portfolio management
2
International Journal of Financial Markets and Derivatives : IJFMD
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Journal of financial and quantitative analysis : JFQA
2
Journal of investment management : JOIM
2
Review of futures markets
2
The European journal of finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
The journal of business : B
2
The journal of finance : the journal of the American Finance Association
2
Advances in investment analysis and portfolio management : a research annual
1
Algorithmic finance
1
Annual review of financial economics
1
Applied financial economics letters
1
Bank i kredyt
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
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