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~person:"Backwell, Alex"
~person:"Christiansen, Charlotte"
~person:"Subrahmanyam, Marti G."
~subject:"Optionspreistheorie"
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Optionspreistheorie
Interest rate derivative
24
Zinsderivat
24
Yield curve
13
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13
Option pricing theory
10
Theorie
10
Theory
10
Derivat
7
Derivative
7
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Backwell, Alex
Christiansen, Charlotte
Subrahmanyam, Marti G.
Schoenmakers, John
12
Joshi, Mark S.
9
Rebonato, Riccardo
9
Grbac, Zorana
6
Schlögl, Erik
6
Almeida, Caio
5
Belomestny, Denis
5
Chen, Son-nan
5
Eberlein, Ernst
5
Papapantoleon, Antonis
5
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5
Bhar, Ramaprasad
4
Björk, Tomas
4
Fanelli, Viviana
4
Karlsson, Patrik
4
Svenstrup, Mikkel
4
Vicente, José Valentim Machado
4
Wu, Ting-pin
4
Yasuoka, Takashi
4
Baaquie, Belal E.
3
Beyna, Ingo
3
Branger, Nicole
3
Chen, Zhanyu
3
Chiarella, Carl
3
Dang, Duy-Minh
3
Das, Sanjiv R.
3
Das, Sanjiv Ranjan
3
De Simone, Antonio
3
Doffou, Ako
3
Fabozzi, Frank J.
3
Fornari, Fabio
3
Gerhart, Christoph
3
Gnoatto, Alessandro
3
Henrard, Marc P. A.
3
Jain, Shashi
3
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3
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Journal of banking & finance
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
Applied economics
1
Emerging markets, finance and trade : EMFT
1
Journal of financial markets
1
Review of derivatives research
1
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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1
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
Saved in:
2
Volatility level dependence and linear-rational term structure models
Backwell, Alex
;
Ramnarayan, Kalind
- In:
Emerging markets, finance and trade : EMFT
58
(
2022
)
13
,
pp. 3622-3638
Persistent link: https://www.econbiz.de/10013462321
Saved in:
3
Expected and unexpected jumps in the overnight rate : consistent management of the libor transition
Backwell, Alex
;
Hayes, Joshua
- In:
Journal of banking & finance
145
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013538970
Saved in:
4
Liquidity effect in OTC options markets : premium or discount?
Deuskar, Prachi
;
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial markets
14
(
2011
)
1
,
pp. 127-160
Persistent link: https://www.econbiz.de/10009267085
Saved in:
5
Pricing and hedging interest rate options : evidence from cap-floor markets
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of banking & finance
29
(
2005
)
3
,
pp. 701-733
Persistent link: https://www.econbiz.de/10002516999
Saved in:
6
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
- In:
Review of derivatives research
5
(
2002
)
1
,
pp. 51-80
Persistent link: https://www.econbiz.de/10001652021
Saved in:
7
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
-
2000
Persistent link: https://www.econbiz.de/10001453874
Saved in:
8
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
-
2000
Persistent link: https://www.econbiz.de/10001456681
Saved in:
9
The valuation of American-style swaptions in a two-factor spot-futures model
Peterson, Sandra
;
Stapleton, Richard C.
;
Subrahmanyam, …
-
1999
Persistent link: https://www.econbiz.de/10001463939
Saved in:
10
Credit risk and the pricing of Japanese yen interest rate swaps
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
-
1997
Persistent link: https://www.econbiz.de/10000992592
Saved in:
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