//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"BGM model"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Yield curve
45
Zinsstruktur
45
Theorie
24
Theory
24
Option pricing theory
18
Optionspreistheorie
18
Interest rate derivative
13
Zinsderivat
13
USA
6
United States
6
Volatility
6
Volatilität
6
CAPM
5
Derivat
5
Derivative
5
Hedging
5
Swap
5
Estimation
4
Financial analysis
4
Finanzanalyse
4
Schätzung
4
Black-Scholes model
3
Black-Scholes-Modell
3
Credit risk
3
Kreditrisiko
3
Convertible bond
2
Credit derivative
2
Financial crisis
2
Finanzkrise
2
Geldmarkt
2
Kreditderivat
2
Money market
2
Option trading
2
Optionsgeschäft
2
Wandelanleihe
2
1982-1991
1
1982-1996
1
1990-1993
1
1993-1994
1
1997-1998
1
more ...
less ...
Type of publication
All
Article
45
Type of publication (narrower categories)
All
Article in journal
45
Aufsatz in Zeitschrift
45
Systematic review
1
Übersichtsarbeit
1
Language
All
English
45
Author
All
Chen, Son-nan
5
Wu, Ting-pin
5
Hull, John
2
White, Alan
2
Xu, Wei
2
Angelini, Flavio
1
Arvanitis, Angelo
1
Benner, Wolfgang
1
Benth, Fred Espen
1
Bessembinder, Hendrik
1
Bjerregaard Pedersen, Morten
1
Brigo, Damiano
1
Cadle, John
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Chiang, Mi-Hsiu
1
Chu, Chi Chiu
1
Chuang, Ming-Che
1
Chung, San-Lin
1
Collin-Dufresne, Pierre
1
Coughenour, Jay F.
1
Crouhy, Michel
1
Dravid, Ajay R.
1
Dupoyet, Brice
1
Engle, Robert F.
1
Fabozzi, Frank J.
1
Galai, Dan
1
Giannikos, Christos
1
Goldstein, Robert S.
1
Grant, Dwight M.
1
Gregory, Jonathon
1
Guirguis, Hany S.
1
Herzel, Stefano
1
Ho, Lan-chih
1
Ho, Thomas S. Y.
1
Huang, Jing-Zhi
1
Hung, Mao-Wei
1
Hurn, Stan
1
Ibhagui, Oyakhilome
1
more ...
less ...
Published in...
All
The journal of derivatives : the official publication of the International Association of Financial Engineers
NBER working paper series
269
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
119
Journal of financial economics
116
International journal of theoretical and applied finance
111
Finance and economics discussion series
110
Working paper series / European Central Bank
109
IMF working papers
104
Finance research letters
103
Working paper
96
Journal of money, credit and banking : JMCB
93
International review of economics & finance : IREF
88
Economics letters
87
The review of financial studies
85
Applied economics
83
The journal of finance : the journal of the American Finance Association
77
Economic modelling
73
Journal of monetary economics
73
Journal of empirical finance
72
International review of financial analysis
69
Mathematical finance : an international journal of mathematics, statistics and financial theory
69
Applied financial economics
68
Journal of economic dynamics & control
68
Working papers series / Federal Reserve Bank of San Francisco
68
Applied economics letters
61
Discussion papers / CEPR
61
Journal of financial and quantitative analysis : JFQA
61
Discussion paper
60
Journal of international financial markets, institutions & money
59
The journal of futures markets
59
CESifo working papers
58
ECB Working Paper
56
The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
53
Finance and stochastics
51
IMF working paper
51
more ...
less ...
Source
All
ECONIS (ZBW)
45
Showing
1
-
45
of
45
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Interrelations among chross-currency basis swaps spreads: pre- and post-crisis analysis
Ibhagui, Oyakhilome
- In:
The journal of derivatives : the official publication …
26
(
2019
)
4
,
pp. 89-112
Persistent link: https://www.econbiz.de/10012306197
Saved in:
2
Another look at the Ho-Lee bond option pricing model
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
The journal of derivatives : the official publication …
25
(
2018
)
4
,
pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
Saved in:
3
Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Chiang, Mi-Hsiu
- In:
The journal of derivatives : the official publication …
26
(
2018
)
2
,
pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
Saved in:
4
A unified Willow tree framework for one-factor short-rate models
Wang, Guangguang
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 33-54
Persistent link: https://www.econbiz.de/10011941393
Saved in:
5
A simple and efficient two-factor willow tree method for convertible bond pricing with stochastic interest rate and default risk
Lu, Ling
;
Xu, Wei
- In:
The journal of derivatives : the official publication …
25
(
2017
)
1
,
pp. 37-54
Persistent link: https://www.econbiz.de/10011931521
Saved in:
6
Analytical pricing of European bond options within one-factor quadratic term structure models
Leblon, Grégoire
;
Moraux, Franck
- In:
The journal of derivatives : the official publication …
24
(
2017
)
3
,
pp. 29-41
Persistent link: https://www.econbiz.de/10011687340
Saved in:
7
Modeling term structure of default correlation
Suchintabandid, Sira
- In:
The journal of derivatives : the official publication …
22
(
2015
)
4
,
pp. 26-36
Persistent link: https://www.econbiz.de/10011399738
Saved in:
8
Interest rates and credit spread dynamics
Neal, Robert S.
;
Rolph, Douglas
;
Dupoyet, Brice
;
Jiang, …
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 25-39
Persistent link: https://www.econbiz.de/10011399798
Saved in:
9
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
10
The 2008 financial crisis and the dynamics of price discovery among stock prices, CDS spreads, and bond spreads for US financial firms
Giannikos, Christos
;
Guirguis, Hany S.
;
Suen, Michael
- In:
The journal of derivatives : the official publication …
21
(
2013
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10010191936
Saved in:
11
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:
12
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
Saved in:
13
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
14
A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang
;
Zyapkov, Lyudmil
;
Jortzik, Stephan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
Saved in:
15
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
16
Analytical valuation of barrier interest rate options under market models
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
1
,
pp. 21-37
Persistent link: https://www.econbiz.de/10003892315
Saved in:
17
Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Benth, Fred Espen
;
Koekebakker, Steen
;
Ollmar, Fridthjof
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 52-66
Persistent link: https://www.econbiz.de/10003611427
Saved in:
18
Transitional densities of diffusion processes : a new approach to solving the Fokker-Plank equation
Hurn, Stan
;
Jeisman, J. I.
;
Lindsay, Kenneth A.
- In:
The journal of derivatives : the official publication …
14
(
2007
)
4
,
pp. 86-94
Persistent link: https://www.econbiz.de/10003498962
Saved in:
19
Efficient analytical cascade calibration of the LIBOR market model with endogenous interpolation
Brigo, Damiano
;
Morini, Massimo
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 40-60
Persistent link: https://www.econbiz.de/10003379121
Saved in:
20
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
21
Optimal calibration of LIBOR market models to correlations
Weigel, Peter
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 43-50
Persistent link: https://www.econbiz.de/10002535971
Saved in:
22
Explaining credit spread changes : new evidence from option-adjusted bond indexes
Huang, Jing-Zhi
;
Kong, Weipeng
- In:
The journal of derivatives : the official publication …
11
(
2003
)
1
,
pp. 30-44
Persistent link: https://www.econbiz.de/10001798992
Saved in:
23
No-arbitrage approach to pricing credit spread derivatives
Chu, Chi Chiu
;
Kwok, Yue-Kuen
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 51-64
Persistent link: https://www.econbiz.de/10001770080
Saved in:
24
Pricing swaptions within an affine framework
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
- In:
The journal of derivatives : the official publication …
10
(
2002
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10001718682
Saved in:
25
Consistent initial curves for interest rate models
Angelini, Flavio
;
Herzel, Stefano
- In:
The journal of derivatives : the official publication …
9
(
2002
)
4
,
pp. 8-17
Persistent link: https://www.econbiz.de/10001708440
Saved in:
26
Pricing Asian-style interest rate swaps
Chang, Chuang-Chang
;
Chung, San-Lin
- In:
The journal of derivatives : the official publication …
9
(
2002
)
4
,
pp. 45-55
Persistent link: https://www.econbiz.de/10001708447
Saved in:
27
Pricing convertible bonds subject to default risk
Hung, Mao-Wei
;
Wang, Jr-Yan
- In:
The journal of derivatives : the official publication …
10
(
2002
)
2
,
pp. 75-87
Persistent link: https://www.econbiz.de/10001745235
Saved in:
28
Pricing equity swaps in a stochastic interest rate economy
Kijima, Masaaki
;
Muromachi, Yukio
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 19-35
Persistent link: https://www.econbiz.de/10001613578
Saved in:
29
Estimation and hedging with a one-factor Heath-Jarrow-Morton model
Ho, Lan-chih
;
Cadle, John
;
Theobald, Michael
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 49-61
Persistent link: https://www.econbiz.de/10001613583
Saved in:
30
An analytical implementation of the Hull and White model
Grant, Dwight M.
;
Vora, Gautam
- In:
The journal of derivatives : the official publication …
9
(
2001
)
2
,
pp. 54-60
Persistent link: https://www.econbiz.de/10001634688
Saved in:
31
Approximation of non-linear term structure models
Takamizawa, Hideyuki
;
Shoji, Isao
- In:
The journal of derivatives : the official publication …
8
(
2001
)
3
,
pp. 44-51
Persistent link: https://www.econbiz.de/10001581197
Saved in:
32
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
33
Testing the volatility term structure using option hedging criteria
Engle, Robert F.
;
Rosenberg, Joshua V.
- In:
The journal of derivatives : the official publication …
8
(
2000
)
1
,
pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
Saved in:
34
A critique of factor analysis of interest rates
Lekkos, Ilias
- In:
The journal of derivatives : the official publication …
8
(
2000
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10001522327
Saved in:
35
Building models for credit spreads
Arvanitis, Angelo
;
Gregory, Jonathon
;
Laurent, Jean-Paul
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
Saved in:
36
Valuation of flexible caps
Bjerregaard Pedersen, Morten
- In:
The journal of derivatives : the official publication …
5
(
1998
)
3
,
pp. 60-67
Persistent link: https://www.econbiz.de/10001242384
Saved in:
37
An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese
- In:
The journal of derivatives : the official publication …
4
(
1996
)
1
,
pp. 41-54
Persistent link: https://www.econbiz.de/10001207623
Saved in:
38
Is there a term structure of futures volatilities? : Reevaluating the Samuelson hypothesis
Bessembinder, Hendrik
;
Coughenour, Jay F.
;
Seguin, Paul John
- In:
The journal of derivatives : the official publication …
4
(
1996
)
2
,
pp. 45-58
Persistent link: https://www.econbiz.de/10001214072
Saved in:
39
The term structure of equity risk : an empirical analysis
Dravid, Ajay R.
- In:
The journal of derivatives : the official publication …
3
(
1996
)
4
,
pp. 48-63
Persistent link: https://www.econbiz.de/10001202804
Saved in:
40
Using Hull-White interest rate trees
Hull, John
- In:
The journal of derivatives : the official publication …
3
(
1996
)
3
,
pp. 26-36
Persistent link: https://www.econbiz.de/10001202807
Saved in:
41
The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
1
,
pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
Saved in:
42
Hedging with a volatility term structure
Crouhy, Michel
- In:
The journal of derivatives : the official publication …
2
(
1995
)
3
,
pp. 45-52
Persistent link: https://www.econbiz.de/10001219524
Saved in:
43
Evolution of interest rate models : a comparison
Ho, Thomas S. Y.
- In:
The journal of derivatives : the official publication …
2
(
1995
)
4
,
pp. 9-20
Persistent link: https://www.econbiz.de/10001223174
Saved in:
44
Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw
- In:
The journal of derivatives : the official publication …
3
(
1995
)
2
,
pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
Saved in:
45
Numerical procedures for implementing term structure models I : single-factor models
Hull, John
- In:
The journal of derivatives : the official publication …
2
(
1994
)
1
,
pp. 7-16
Persistent link: https://www.econbiz.de/10001219340
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->