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~isPartOf:"Applied mathematical finance"
~subject:"Zinsderivat"
~subject:"Derivative"
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Zinsderivat
Derivative
Yield curve
50
Zinsstruktur
50
Theorie
27
Theory
27
Option pricing theory
21
Optionspreistheorie
21
Stochastic process
11
Stochastischer Prozess
11
Derivat
10
Interest rate derivative
9
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8
Volatilität
8
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6
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6
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6
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4
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4
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3
Markov chain
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Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Bouchaud, Jean-Philippe
1
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1
Chiu, Chun-Yuan
1
Costabile, Massimo
1
Deelstra, Griselda
1
Eberlein, Ernst
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Mai, Jan-Frederik
1
Massabo, Ivar
1
Olivares, Pablo
1
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1
Rayée, Grégory
1
Russo, Emilio
1
Rutkowski, Marek
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Schenk, Steffen
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Scherer, Matthias
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Applied mathematical finance
International journal of theoretical and applied finance
42
Journal of banking & finance
26
The journal of fixed income
22
The journal of futures markets
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
The journal of computational finance
16
Journal of financial economics
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
13
Review of derivatives research
13
The journal of finance : the journal of the American Finance Association
12
The review of financial studies
11
Finance and stochastics
10
International review of financial analysis
10
International journal of financial engineering
9
Journal of financial and quantitative analysis : JFQA
9
Quantitative finance
9
Working paper
9
Applied financial economics
8
Interest rate modelling after the financial crisis
8
Journal of mathematical finance
8
NBER Working Paper
8
NBER working paper series
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
8
Discussion paper / B
7
Journal of empirical finance
7
Journal of international financial markets, institutions & money
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Advances in futures and options research : a research annual
6
Research paper series / Swiss Finance Institute
6
Risks : open access journal
6
SpringerLink / Bücher
6
The European journal of finance
6
Economics letters
5
European journal of operational research : EJOR
5
Journal of international money and finance
5
Journal of money, credit and banking : JMCB
5
Lecture notes in economics and mathematical systems : LNEMS
5
SFB 649 discussion paper
5
Working paper / National Bureau of Economic Research, Inc.
5
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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
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:
3
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
4
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:
5
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:
6
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
7
Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda
;
Rayée, Grégory
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
Saved in:
8
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:
9
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
10
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
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