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~isPartOf:"The journal of computational finance"
~subject:"Swap"
~subject:"Volatilität"
~type:"article"
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Swap
Volatilität
Yield curve
29
Zinsstruktur
29
Option pricing theory
24
Optionspreistheorie
24
Interest rate derivative
15
Zinsderivat
15
Stochastic process
11
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stochastic volatility
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calibration
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finite difference
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swaptions
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variance reduction
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14
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Reisinger, Christoph
2
Ahdida, Abdelkoddousse
1
Alfonsi, Aurélien
1
Andersen, Leif
1
Andersen, Leif B. G.
1
Briani, Maya
1
Brotherton-Ratcliffe, Rupert
1
Caramellino, Lucia
1
Cozma, Andrei
1
Gatarek, Dariusz
1
Glasserman, Paul
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Grzelak, Lech A.
1
Jabłecki, Juliusz
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Joshi, Mark S.
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Kiesel, Rüdiger
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Korn, Ralf
1
Liang, Qian
1
Lopes, Sara Dutra
1
Lutz, Matthias
1
Merener, Nicolas
1
Ng, Leslie
1
Oosterlee, Cornelis W.
1
Palidda, Ernesto
1
Vázquez, Carlos
1
Wissmann, Rasmus
1
Zanette, Antonino
1
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The journal of computational finance
Journal of banking & finance
30
The journal of futures markets
27
International journal of theoretical and applied finance
25
Journal of financial economics
18
Journal of international money and finance
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
Journal of empirical finance
14
The review of financial studies
14
Applied mathematical finance
13
Quantitative finance
13
The journal of fixed income
13
Economics letters
12
The North American journal of economics and finance : a journal of financial economics studies
12
Economic modelling
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Finance research letters
10
Journal of international financial markets, institutions & money
10
Management science : journal of the Institute for Operations Research and the Management Sciences
10
Applied financial economics
9
The journal of finance : the journal of the American Finance Association
9
Energy economics
8
Finance and stochastics
8
International review of economics & finance : IREF
8
Journal of econometrics
8
Review of derivatives research
8
International journal of financial engineering
7
The European journal of finance
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Journal of money, credit and banking : JMCB
6
Research in international business and finance
6
Asia-Pacific financial markets
5
Emerging markets, finance and trade : EMFT
5
Insurance / Mathematics & economics
5
International journal of forecasting
5
Journal of economic dynamics & control
5
Journal of mathematical finance
5
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
14
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1
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
Saved in:
2
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
3
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
4
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
Saved in:
5
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
6
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:
7
Multicurrency extension of the quasi-Gaussian stochastic volatility interest rate model
Ng, Leslie
- In:
The journal of computational finance
18
(
2014/15
)
3
,
pp. 59-98
Persistent link: https://www.econbiz.de/10011298899
Saved in:
8
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:
9
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:
10
An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 45-77
Persistent link: https://www.econbiz.de/10009575390
Saved in:
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