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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Optionspreistheorie"
~subject:"Schätzung"
~subject:"Volatilität"
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Optionspreistheorie
Schätzung
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Interest rate derivative
25
Zinsderivat
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Yield curve
13
Zinsstruktur
13
Option pricing theory
12
Theorie
11
Theory
11
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4
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4
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English
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Chen, Son-nan
3
Wu, Ting-pin
3
Beliaeva, Natalia A.
1
Ben-Ameur, Hatem
1
Chang, Jui-jane
1
Chen, Ren-Raw
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Jensen, Malene Shin
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Karoui, Lotfi
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Kijima, Masaaki
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Komoribayashi, Katsuya
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Mnif, Walid
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1
Turnbull, Stuart M.
1
Uhrig, Marliese
1
Wang, Chun-chao
1
Wei, Jason
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The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
20
The journal of computational finance
19
The journal of futures markets
17
Applied mathematical finance
11
Journal of banking & finance
11
Finance and stochastics
10
Review of derivatives research
10
International journal of financial engineering
9
The journal of fixed income
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
The journal of finance : the journal of the American Finance Association
7
The review of financial studies
7
Applied financial economics
6
The European journal of finance
6
Advances in futures and options research : a research annual
5
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
Gabler Edition Wissenschaft
5
International review of financial analysis
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Quantitative finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
SFB 649 discussion paper
5
SSE EFI working paper series in economics and finance
5
Advances in Pacific Basin financial markets
4
CoFE discussion papers
4
Discussion paper / Tinbergen Institute
4
European journal of operational research : EJOR
4
International review of finance
4
Journal of financial economics
4
Journal of international financial markets, institutions & money
4
Journal of mathematical finance
4
Risks : open access journal
4
Série de trabalhos para discussão
4
Advances in investment analysis and portfolio management : a research annual
3
Applied economics
3
BIS working papers
3
Discussion paper / Centre for Economic Policy Research
3
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3
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1
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
Saved in:
2
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
3
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
4
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
5
Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
;
Soto, Gloria M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
Saved in:
6
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
7
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
8
A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki
- In:
The journal of derivatives : the official publication …
6
(
1998
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
Saved in:
9
An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese
- In:
The journal of derivatives : the official publication …
4
(
1996
)
1
,
pp. 41-54
Persistent link: https://www.econbiz.de/10001207623
Saved in:
10
Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw
- In:
The journal of derivatives : the official publication …
3
(
1995
)
2
,
pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
Saved in:
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