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~subject:"Zinsstruktur"
~subject:"Optionspreistheorie"
~isPartOf:"Applied mathematical finance"
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Zinsstruktur
Optionspreistheorie
Interest rate derivative
16
Zinsderivat
16
Interest rate
12
Option pricing theory
12
Zins
12
Yield curve
11
Derivat
9
Derivative
9
Stochastic process
9
Stochastischer Prozess
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Theorie
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Theory
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Swap
5
Volatility
5
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Interest rate derivatives
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interest rate derivatives
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1990-1996
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American options
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Eberlein, Ernst
2
Oosterlee, Cornelis Willebrordus
2
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Borovykh, Anastasia
1
Bouchaud, Jean-Philippe
1
Börger, Reik H.
1
Costabile, Massimo
1
Gerhart, Christoph
1
Grzelak, Lech A.
1
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1
Hoencamp, J. H.
1
Jain, Shashi
1
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1
Kandhai, B. D.
1
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1
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1
Kort, J. P. de
1
Leitao, Álvaro
1
Liu, Shuaiqiang
1
Lopes, Sara Dutra
1
Lütkebohmert-Holtz, Eva
1
Massabo, Ivar
1
Michel, Christophe
1
Oosterlee, Cornelis W.
1
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1
Reutenauer, Victor
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Rudmann, Marcus
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1
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Applied mathematical finance
NBER working paper series
64
NBER Working Paper
51
International journal of theoretical and applied finance
43
Working paper / National Bureau of Economic Research, Inc.
42
Journal of banking & finance
33
Applied economics
29
The journal of fixed income
29
Working papers / The Levy Economics Institute
28
The journal of computational finance
26
Insurance / Mathematics & economics
21
The journal of futures markets
21
Working paper
21
Economic modelling
20
Journal of money, credit and banking : JMCB
20
Working papers / Bank for International Settlements
20
IMF working papers
19
Journal of financial economics
19
Journal of mathematical finance
19
The journal of derivatives : the official publication of the International Association of Financial Engineers
19
Applied economics letters
18
Applied financial economics
18
The journal of finance : the journal of the American Finance Association
18
Working paper series / European Central Bank
18
Finance and stochastics
17
International review of economics & finance : IREF
17
Journal of international money and finance
17
Review of derivatives research
17
International journal of financial engineering
15
Quantitative finance
15
Discussion papers / CEPR
14
Finance and economics discussion series
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Staff working paper / Bank of Canada
14
The North American journal of economics and finance : a journal of financial economics studies
14
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
14
Discussion paper / Centre for Economic Policy Research
12
Economics letters
12
Europäische Hochschulschriften / 5
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Cogent economics & finance
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ECONIS (ZBW)
16
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
On a neural network to extract implied information from american options
Liu, Shuaiqiang
;
Leitao, Álvaro
;
Borovykh, Anastasia
; …
- In:
Applied mathematical finance
28
(
2021
)
5
,
pp. 449-475
Persistent link: https://www.econbiz.de/10013411712
Saved in:
3
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
4
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
5
Option pricing with transaction costs and stochastic interest rate
SenGupta, Indranil
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 399-416
Persistent link: https://www.econbiz.de/10010500884
Saved in:
6
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
7
On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.
;
Oosterlee, Cornelis W.
- In:
Applied mathematical finance
19
(
2012
)
1/2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
Saved in:
8
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
9
Phenomenology of the interest rate curve
Bouchaud, Jean-Philippe
(
contributor
)
- In:
Applied mathematical finance
6
(
1999
)
3
,
pp. 209-232
Persistent link: https://www.econbiz.de/10001490691
Saved in:
10
Hybrid Lévy models : design and computational aspects
Eberlein, Ernst
;
Rudmann, Marcus
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
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