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~subject:"Yield curve"
~isPartOf:"The journal of fixed income"
~isPartOf:"International journal of theoretical and applied finance"
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Search: subject_exact:"Capital asset pricing model"
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Yield curve
CAPM
109
Theorie
58
Theory
58
Option pricing theory
31
Optionspreistheorie
31
Zinsstruktur
25
Portfolio selection
22
Portfolio-Management
22
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18
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18
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17
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17
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Rebonato, Riccardo
2
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1
Baz, Jamil
1
Beliaeva, Natalia A.
1
Bhattacharjee, Ranjit
1
Bierwag, Gerald O.
1
Bjerksund, Petter
1
Brody, Dorje C.
1
Brown, Roger H.
1
Chege Maina, Samuel
1
Chen, An
1
Chiarella, Carl
1
Cornell, Bradford
1
Cuoco, Domenico
1
Daniluk, Andrzej
1
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1
De Malherbe, Etienne
1
Dor, Arik Ben
1
Durham, J. Benson
1
Dynkin, Lev
1
Eom, Young Ho
1
Gombani, Andrea
1
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1
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1
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1
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1
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1
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1
Richardson, Matthew
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The journal of fixed income
International journal of theoretical and applied finance
Journal of financial economics
26
NBER working paper series
17
NBER Working Paper
14
The review of financial studies
14
Staff working paper / Bank of Canada
10
Working paper / National Bureau of Economic Research, Inc.
10
Journal of economic dynamics & control
9
The journal of finance : the journal of the American Finance Association
9
Discussion paper / B
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
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8
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7
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7
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6
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6
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6
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6
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6
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6
CREATES research paper
5
Finance research letters
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International review of economics & finance : IREF
5
International review of financial analysis
5
Mathematics and financial economics
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
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4
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International journal of financial engineering
4
Journal of international money and finance
4
Journal of money, credit and banking : JMCB
4
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Skrifter fra Institut for Virksomhedsledelse, Odense Universitet
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Swiss Finance Institute Research Paper
4
The European journal of finance
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
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4
Working paper series / European Central Bank
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1
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
2
Yields versus expected returns of corporate bonds : some unexpected results
Beliaeva, Natalia A.
;
Koh, Rachel Kyungyeon
;
Nawalkha, …
- In:
The journal of fixed income
27
(
2018
)
3
,
pp. 37-53
Persistent link: https://www.econbiz.de/10011803834
Saved in:
3
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Saved in:
4
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
5
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej
;
Muchorski, Rafał
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Saved in:
6
Coupon effects on corporate bonds : pricing, empirical duration, and spread convexity
Hyman, Jay
;
Dor, Arik Ben
;
Dynkin, Lev
;
Horowitz, David
; …
- In:
The journal of fixed income
24
(
2015
)
3
,
pp. 52-63
Persistent link: https://www.econbiz.de/10011292814
Saved in:
7
Heat kernel models for asset pricing
Macrina, Andrea
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
Saved in:
8
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
Saved in:
9
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
10
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An
;
Sandmann, Klaus
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Saved in:
11
A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
18
(
2008/09
)
3
,
pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
Saved in:
12
The term structure of mortgage rates : Citigroup's MOATS model
Bhattacharjee, Ranjit
;
Hayre, Lakhbir S.
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 34-47
Persistent link: https://www.econbiz.de/10003339387
Saved in:
13
Additional analytical approximations of the term structure and distributional assumptions for jump-diffusion processes
Durham, J. Benson
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 61-73
Persistent link: https://www.econbiz.de/10003339418
Saved in:
14
Implied kernel models
Weigel, Peter
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 575-601
Persistent link: https://www.econbiz.de/10003058621
Saved in:
15
Correlation analysis in the libor and swap market model
De Malherbe, Etienne
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
Saved in:
16
A filtering approach to pricing in multifactor term structure models
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
Saved in:
17
The term structure, the CAPM, and the market risk premium : an interesting puzzle
Cornell, Bradford
- In:
The journal of fixed income
8
(
1998
)
3
,
pp. 85-88
Persistent link: https://www.econbiz.de/10001364579
Saved in:
18
Coupon effects and the pricing of Japanese government bonds : an empirical analysis
Eom, Young Ho
- In:
The journal of fixed income
8
(
1998
)
2
,
pp. 69-86
Persistent link: https://www.econbiz.de/10001252726
Saved in:
19
Ten years of the real term structure : 1984 - 1994
Brown, Roger H.
- In:
The journal of fixed income
5
(
1996
)
4
,
pp. 6-22
Persistent link: https://www.econbiz.de/10001204427
Saved in:
20
Analytical approximations of the term structure for jump-diffusion processes : a numerical analysis
Baz, Jamil
- In:
The journal of fixed income
6
(
1996
)
1
,
pp. 78-86
Persistent link: https://www.econbiz.de/10001205422
Saved in:
21
The Ho-Lee binomial stochastic process and duration
Bierwag, Gerald O.
- In:
The journal of fixed income
6
(
1996
)
2
,
pp. 76-87
Persistent link: https://www.econbiz.de/10001208580
Saved in:
22
Implementation of the Black-Derman-Toy interest rate model
Bjerksund, Petter
- In:
The journal of fixed income
6
(
1996
)
2
,
pp. 67-75
Persistent link: https://www.econbiz.de/10001208581
Saved in:
23
Term structure estimation using the Cox, Ingersoll, and Ross model : the case of Italian treasury bonds
Barone, Emilio
- In:
The journal of fixed income
1
(
1991
)
3
,
pp. 87-95
Persistent link: https://www.econbiz.de/10001117906
Saved in:
24
Measuring aggregate economic fundamentals from short-term premiums
Richardson, Matthew
- In:
The journal of fixed income
1
(
1991
)
3
,
pp. 75-85
Persistent link: https://www.econbiz.de/10001117907
Saved in:
25
Forward induction and construction of yield curve diffusion models
Jamshidian, Farshid
- In:
The journal of fixed income
1
(
1991
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10001109849
Saved in:
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