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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Applied economics"
~subject:"Option pricing theory"
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Option pricing theory
Credit derivative
49
Kreditderivat
49
Credit risk
41
Kreditrisiko
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Theorie
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Theory
22
Derivat
18
Derivative
18
Swap
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Stochastic process
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Optionspreistheorie
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Country risk
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Credit insurance
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Finanzkrise
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Multivariate Verteilung
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Credit default swaps
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International sovereign debt
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Internationale Staatsschulden
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Brigo, Damiano
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Armstrong, Anthony
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Banerjee, Tamal
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Chege Maina, Samuel
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Chiarella, Carl
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Ghosh, Mrinal K.
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Heider, Pascal
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Iyer, Srikanth K.
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International journal of theoretical and applied finance
Applied economics
Insurance / Mathematics & economics
4
International journal of financial engineering
4
International review of financial analysis
4
Journal of mathematical finance
4
Applied mathematical finance
2
BestMasters
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Computational economics
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Credit risk : models, derivatives, and management
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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European journal of operational research : EJOR
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Finance and stochastics
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Finance research letters
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Journal of banking & finance
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Journal of economic dynamics & control
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Quantitative finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Research paper series / Swiss Finance Institute
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Review of derivatives research
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The journal of futures markets
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Annals of economics and statistics
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Annals of financial economics
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Applied economics letters
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Applied financial economics
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Asia-Pacific financial markets
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Asia-Pacific journal of financial studies
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Bank- und finanzwirtschaftliche Forschungen
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Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
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CreditRisk+ in the banking industry
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Decisions in economics and finance : a journal of applied mathematics
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International journal of financial markets and derivatives
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New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
2
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
3
CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano
;
Garcia, João
;
Pede, Nicola
- In:
International journal of theoretical and applied finance
18
(
2015
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
Saved in:
4
Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin
;
Kassberger, Stefan
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
Saved in:
5
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:
6
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
7
An implied volatility model determined by credit default swaps
Heider, Pascal
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
Saved in:
8
Valuation of credit default swaptions and credit default index swaptions
Rutkowski, Marek
;
Armstrong, Anthony
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 1027-1053
Persistent link: https://www.econbiz.de/10003928782
Saved in:
9
The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano
;
Cousot, Laurent
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
Saved in:
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