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~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
395
Journal of banking & finance
177
International journal of theoretical and applied finance
170
IMF Working Papers
151
Energy economics
123
The journal of finance : the journal of the American Finance Association
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The journal of fixed income
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
66
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1
Evolution of real estate derivatives and their pricing
Fabozzi, Frank J.
;
Shiller, Robert J.
;
Tunaru, Radu
- In:
The journal of derivatives : the official publication …
26
(
2019
)
3
,
pp. 7-21
Persistent link: https://www.econbiz.de/10012306146
Saved in:
2
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:
3
The second partial derivative of option price with respect to the strike : a historical reminiscence
Zimmermann, Heinz
- In:
The journal of derivatives : the official publication …
25
(
2018
)
3
,
pp. 81-87
Persistent link: https://www.econbiz.de/10011941351
Saved in:
4
The implied convexity of VIX futures
Daigler, Robert T.
;
Dupoyet, Brice
;
Patterson, Fernando M.
- In:
The journal of derivatives : the official publication …
23
(
2016
)
3
,
pp. 73-90
Persistent link: https://www.econbiz.de/10011687233
Saved in:
5
Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain
;
Mostoufi, Mina
;
Vyncke, David
- In:
The journal of derivatives : the official publication …
24
(
2016
)
1
,
pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
Saved in:
6
Counterparty risk minimization by the optimal netting of OTC derivative trades
O'Kane, Dominic
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 48-65
Persistent link: https://www.econbiz.de/10011687335
Saved in:
7
Directional trading across stock limit order book and options markets
Wang, Qin
- In:
The journal of derivatives : the official publication …
24
(
2016
)
2
,
pp. 88-97
Persistent link: https://www.econbiz.de/10011687337
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8
A new model for pricing collateralized financial derivatives
Xiao, Tim
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 8-20
Persistent link: https://www.econbiz.de/10011687345
Saved in:
9
Risk-neutral valuation of real estate derivatives
Bragt, David van
;
Francke, Marc K.
;
Singor, Stefan N.
; …
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 89-110
Persistent link: https://www.econbiz.de/10011399817
Saved in:
10
Demystifying credit risk derivatives and securitization : introducing the basic ideas to undergraduates
Cifuentes, Arturo
;
Pagnoncelli, Bernardo K.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 110-118
Persistent link: https://www.econbiz.de/10011311414
Saved in:
11
The VIX futures basis : evidence and trading strategies
Simon, David P.
;
Campasano, Jim
- In:
The journal of derivatives : the official publication …
21
(
2014
)
3
,
pp. 54-69
Persistent link: https://www.econbiz.de/10010387686
Saved in:
12
Counterparty credit risk and American options
Klein, Peter
;
Yang, Jun
- In:
The journal of derivatives : the official publication …
20
(
2013
)
4
,
pp. 7-21
Persistent link: https://www.econbiz.de/10009760552
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13
Pricing contingent convertibles : a derivatives approach
De Spiegeleer, Jan
;
Schoutens, Wim
- In:
The journal of derivatives : the official publication …
20
(
2012
)
2
,
pp. 27-36
Persistent link: https://www.econbiz.de/10009718109
Saved in:
14
Determinants of trading activity on the single-stock future market : evidence from the Eurex Exchange
Białkowski, Je̜drzej
;
Jakubowski, Jacek
- In:
The journal of derivatives : the official publication …
19
(
2012
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10009671108
Saved in:
15
The impact of margin interest on the valuation of credit default swaps
Kan, Yu Hang
;
Pedersen, Claus
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 60-79
Persistent link: https://www.econbiz.de/10009671707
Saved in:
16
Is the derivatives business too big?
White, Alan
- In:
The journal of derivatives : the official publication …
20
(
2012
)
1
,
pp. 11-13
Persistent link: https://www.econbiz.de/10009671719
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17
Implied ICA : factor extraction and multiasset derivative pricing
Kumiega, Andrew
;
Neururer, Thaddeus
;
Van Vliet, Benjamin
- In:
The journal of derivatives : the official publication …
19
(
2012
)
4
,
pp. 39-52
Persistent link: https://www.econbiz.de/10009671738
Saved in:
18
Locally capped investment products and the retail investor
Bernard, Carole
;
Boyle, Phelim P.
;
Gornall, William
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 72-88
Persistent link: https://www.econbiz.de/10009229660
Saved in:
19
Meteorological forecasts and the pricing of temperature futures
Ritter, Matthias
;
Mußhoff, Oliver
;
Odening, Martin
- In:
The journal of derivatives : the official publication …
19
(
2011
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10009413613
Saved in:
20
A multi-parameter extension of Figlewski’s option-pricing formula
Orosi, Greg
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 72-82
Persistent link: https://www.econbiz.de/10009316794
Saved in:
21
A survey on the usage of derivatives and their effect on cost of equity capital
Ameer, Rashid
;
Isa, Rosiatimah Binti Mohd
;
Abdullah, …
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 56-71
Persistent link: https://www.econbiz.de/10009316809
Saved in:
22
The bino-trinomial tree : a simple model for efficient and accurate option pricing
Dai, Tian-shyr
;
Lyuu, Yuh-dauh
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003985505
Saved in:
23
What motivates banks to use derivatives : evidence from Taiwan
Shiu, Yung-ming
;
Moles, Peter
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
4
,
pp. 67-78
Persistent link: https://www.econbiz.de/10003985516
Saved in:
24
Liquidity options
Golts, Maxim
;
Kritzman, Mark
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 80-89
Persistent link: https://www.econbiz.de/10008655516
Saved in:
25
A simplified approach to approximate diffusion processes widely used in finance
Costabile, Massimo
;
Massabó, Ivar
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 65-85
Persistent link: https://www.econbiz.de/10003961022
Saved in:
26
Futures price dynamics of CO2 emission allowances : an empirical analysis of the trial period
Uhrig-Homburg, Marliese
;
Wagner, Michael
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
2
,
pp. 73-88
Persistent link: https://www.econbiz.de/10003925811
Saved in:
27
Variance reduction for multivariate Monte Carlo simulation
Wang, Jr-yan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 7-28
Persistent link: https://www.econbiz.de/10003771438
Saved in:
28
Optimal derivative strategies with discrete rebalancing
Branger, Nicole
;
Breuer, Beate
;
Schlag, Christian
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
2
,
pp. 67-84
Persistent link: https://www.econbiz.de/10003795464
Saved in:
29
Pricing and hedging volatility derivatives
Broadie, Mark
;
Jain, Ashish
- In:
The journal of derivatives : the official publication …
15
(
2008
)
3
,
pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
Saved in:
30
Dynamic models of portfolio credit risk : a simplified approach
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
15
(
2008
)
4
,
pp. 9-28
Persistent link: https://www.econbiz.de/10003733219
Saved in:
31
Do lead-lag effects affect derivative pricing?
Korn, Olaf
;
Uhrig-Homburg, Marliese
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 34-51
Persistent link: https://www.econbiz.de/10003611417
Saved in:
32
Year-end seasonality in one-month LIBOR derivatives
Neely, Christopher J.
;
Winters, Drew B.
- In:
The journal of derivatives : the official publication …
13
(
2006
)
3
,
pp. 47-65
Persistent link: https://www.econbiz.de/10003321083
Saved in:
33
Semi-analytical valuation of basket credit derivatives in intensity-based models
Mortensen, Allan
- In:
The journal of derivatives : the official publication …
13
(
2006
)
4
,
pp. 8-26
Persistent link: https://www.econbiz.de/10003346497
Saved in:
34
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
35
Where should you buy your options? : the pricing of exchange-traded certificates and OTC derivatives in Germany
Muck, Matthias
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 82-96
Persistent link: https://www.econbiz.de/10003379134
Saved in:
36
Valuing credit derivatives using an implied copula approach
Hull, John
;
White, Alan D.
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 8-28
Persistent link: https://www.econbiz.de/10003400047
Saved in:
37
On pricing derivatives in the presence of auxiliary state variables
Lin, Junze
;
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
14
(
2006
)
2
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003400049
Saved in:
38
Default correlation dynamics with business cyle and credit quality changes
Kim, Mi Ae
;
Kim, Tong Suk
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 8-27
Persistent link: https://www.econbiz.de/10003159462
Saved in:
39
Performance of candlestick analysis on intraday futures data
Fock, J. Henning
;
Klein, Christian
;
Zwergel, Bernhard
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 28-40
Persistent link: https://www.econbiz.de/10003159536
Saved in:
40
Derivative pricing models with regime switching : a general approach
Edwards, Craig Steven
- In:
The journal of derivatives : the official publication …
13
(
2005
)
1
,
pp. 41-47
Persistent link: https://www.econbiz.de/10003159539
Saved in:
41
Delivery options and treasury-bond futures hedge rations
Grieves, Robin
;
Marcus, Alan J.
- In:
The journal of derivatives : the official publication …
13
(
2005
)
2
,
pp. 70-76
Persistent link: https://www.econbiz.de/10003299554
Saved in:
42
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 10-19
Persistent link: https://www.econbiz.de/10003010718
Saved in:
43
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:
44
Futures expiration, contract switching, and price discovery
Chatrath, Arjun
;
Christie-David, Rohan
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 58-72
Persistent link: https://www.econbiz.de/10002210963
Saved in:
45
Valuation of CDO and an n-th default CDS without Monte Carlo simulation
Hull, John
;
White, Alan
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 8-23
Persistent link: https://www.econbiz.de/10002535939
Saved in:
46
An overlooked coupon effect in treasury futures contracts
Grieves, Robin
;
Mann, Steven V.
- In:
The journal of derivatives : the official publication …
12
(
2004
)
2
,
pp. 56-61
Persistent link: https://www.econbiz.de/10002536242
Saved in:
47
Option spread and combination trading
Chaput, J. Scott
;
Ederington, Louis H.
- In:
The journal of derivatives : the official publication …
10
(
2003
)
4
,
pp. 70-88
Persistent link: https://www.econbiz.de/10001781773
Saved in:
48
The pricing of structured products in Germany
Wilkens, Sascha
;
Erner, Carsten
;
Röder, Klaus
- In:
The journal of derivatives : the official publication …
11
(
2003
)
1
,
pp. 55-69
Persistent link: https://www.econbiz.de/10001799006
Saved in:
49
Non-parametric pricing of multivariate contigent claims
Rosenberg, Joshua V.
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 9-26
Persistent link: https://www.econbiz.de/10001770054
Saved in:
50
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:
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