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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Swap"
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Swap
Option pricing theory
203
Optionspreistheorie
203
Theorie
123
Theory
123
Option trading
86
Optionsgeschäft
86
Volatility
51
Volatilität
51
USA
48
United States
48
Black-Scholes model
28
Black-Scholes-Modell
28
Hedging
27
Yield curve
27
Zinsstruktur
27
Interest rate derivative
25
Zinsderivat
25
Derivat
24
Derivative
24
Stochastic process
21
Stochastischer Prozess
21
Estimation
20
Schätzung
20
Aktienoption
17
Credit derivative
17
Kreditderivat
17
Stock option
17
Statistical distribution
14
Statistische Verteilung
14
Credit risk
12
Kreditrisiko
12
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21
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Hull, John
3
White, Alan
3
Chen, Son-nan
2
Wu, Ting-pin
2
Abken, Peter A.
1
Bansal, Vipul K.
1
Bennett, Michael N.
1
Brigo, Damiano
1
Chance, Don M.
1
Cheng, Wai-yan
1
Chiang, Mi-hsiu
1
Demeterfi, Kresimir
1
Fan, Rong
1
Gupta, Anurag
1
Hsieh, Ming-hua
1
Hu, Wen-Cheng
1
Huang, Alex
1
Kan, Yu Hang
1
Kennedy, Joanne E.
1
Kuan, Grace C. H.
1
Larsson, Karl
1
Marshall, John F.
1
Morini, Massimo
1
Pedersen, Claus
1
Rich, Don R.
1
Ritchken, Peter H.
1
Smith, Donald J.
1
Webber, Nick
1
Witzany, Jiří
1
Yueh, Meng-lan
1
Yuyuenyongwatana, Robert Privat
1
Zheng, C. K.
1
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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
34
Applied mathematical finance
17
Mathematical finance : an international journal of mathematics, statistics and financial theory
15
The journal of computational finance
15
The journal of fixed income
15
International review of financial analysis
14
The journal of futures markets
14
Journal of financial economics
13
Review of derivatives research
11
European journal of operational research : EJOR
10
Journal of banking & finance
10
The North American journal of economics and finance : a journal of financial economics studies
9
Finance research letters
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance and stochastics
7
Insurance / Mathematics & economics
7
International journal of financial engineering
7
International review of economics & finance : IREF
7
Journal of international financial markets, institutions & money
7
Economic modelling
6
European financial management : the journal of the European Financial Management Association
6
Journal of economic dynamics & control
6
Quantitative finance
6
The European journal of finance
6
The journal of finance : the journal of the American Finance Association
6
Computational economics
5
Discussion paper / Tinbergen Institute
5
Economics letters
5
Global finance journal
5
Journal of financial and quantitative analysis : JFQA
5
Research paper series / Swiss Finance Institute
5
Vahlens Kurzlehrbücher
5
Applied economics letters
4
Finance and economics discussion series
4
Financial markets and portfolio management
4
HKIMR working paper
4
Journal of empirical finance
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ECONIS (ZBW)
21
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1
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:
2
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
3
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
Saved in:
4
Understanding the default-implied volatility for credit spreads
Zheng, C. K.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 67-77
Persistent link: https://www.econbiz.de/10001500091
Saved in:
5
Asymmetric dynamics between informed trading activity and credit default swaps
Hu, Wen-Cheng
;
Huang, Alex
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 70-85
Persistent link: https://www.econbiz.de/10011968700
Saved in:
6
Valuing interest rate swaps using overnight indexed swap (OIS) discounting
Smith, Donald J.
- In:
The journal of derivatives : the official publication …
20
(
2013
)
4
,
pp. 49-59
Persistent link: https://www.econbiz.de/10009760534
Saved in:
7
Hedging business cycle risk with macroeconomic swaps : some preliminary evidence
Bansal, Vipul K.
- In:
The journal of derivatives : the official publication …
1
(
1994
)
3
,
pp. 50-58
Persistent link: https://www.econbiz.de/10001219482
Saved in:
8
Pricing commodity swaptions in multifactor models
Larsson, Karl
- In:
The journal of derivatives : the official publication …
19
(
2011
)
2
,
pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
Saved in:
9
An efficient algorithm for basket default swap valuation
Chiang, Mi-hsiu
;
Yueh, Meng-lan
;
Hsieh, Ming-hua
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 8-19
Persistent link: https://www.econbiz.de/10003673297
Saved in:
10
Cross-currency equity swaps in the BGM model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
15
(
2007
)
2
,
pp. 60-76
Persistent link: https://www.econbiz.de/10003673317
Saved in:
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