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Interest rate derivative
23
Zinsderivat
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Yield curve
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8
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Working paper
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137
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33
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ECONIS (ZBW)
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1
The effect of underreporting on LIBOR rates
Monticini, Andrea
;
Thornton, Daniel L.
-
2013
Persistent link: https://www.econbiz.de/10009721441
Saved in:
2
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
3
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
4
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
5
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
6
Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003344544
Saved in:
7
On finite dimensional realizations of two-country intereste rate models
Slinko, Irina
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10003955690
Saved in:
8
Theory and calibration of swap market models
Galluccio, S.
;
Ly, J.-M.
;
Huang, Z.
;
Scaillet, Olivier
- In:
Mathematical finance : an international journal of …
17
(
2007
)
1
,
pp. 111-141
Persistent link: https://www.econbiz.de/10003543112
Saved in:
9
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
10
A general framework for pricing credit risk
Bélanger, Alain
;
Shreve, Steven E.
;
Wong, Dennis
- In:
Mathematical finance : an international journal of …
14
(
2004
)
3
,
pp. 317-350
Persistent link: https://www.econbiz.de/10002125505
Saved in:
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