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~subject:"Interest rate derivative"
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Search: subject_exact:"Expectations hypothesis of the term structure"
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Interest rate derivative
Theory
Yield curve
30
Zinsstruktur
30
Option pricing theory
18
Optionspreistheorie
18
Theorie
17
Derivat
10
Derivative
10
Zinsderivat
6
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5
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Optionsgeschäft
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Stochastic process
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Swap
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Öffentliche Anleihe
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Efficient market hypothesis
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Interest rate
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1992-1995
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Pelsser, Antoon André Jean
3
Jarrow, Robert A.
2
Bossy, Mireille
1
Brenner, Menachem
1
Chen, Ren-Raw
1
Cherian, Joseph A.
1
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1
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Díaz Pérez, Antonio
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
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1
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1
Jareño, Francisco
1
Jong, Frank de
1
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1
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1
Løchte Jørgensen, Peter
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Subrahmanyam, Marti G.
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Review of derivatives research
NBER working paper series
101
Working paper / National Bureau of Economic Research, Inc.
95
Journal of banking & finance
86
NBER Working Paper
85
International journal of theoretical and applied finance
68
The journal of fixed income
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
64
Journal of financial economics
56
The journal of finance : the journal of the American Finance Association
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Working paper
45
The review of financial studies
44
Discussion paper / Centre for Economic Policy Research
41
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40
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39
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35
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33
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31
Journal of financial and quantitative analysis : JFQA
31
Journal of international money and finance
31
The journal of derivatives : the official publication of the International Association of Financial Engineers
31
Journal of empirical finance
30
Working paper series / European Central Bank
30
Journal of monetary economics
27
Journal of econometrics
24
The journal of futures markets
24
Discussion papers / CEPR
23
International review of economics & finance : IREF
23
Staff reports / Federal Reserve Bank of New York
23
Working papers series / Federal Reserve Bank of San Francisco
22
Applied financial economics
21
Discussion paper
21
Finance research letters
21
Management science : journal of the Institute for Operations Research and the Management Sciences
21
The European journal of finance
21
International review of financial analysis
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics
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CESifo working papers
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1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Yield curves from different bond data sets
Díaz Pérez, Antonio
;
Jareño, Francisco
;
Navarro …
- In:
Review of derivatives research
23
(
2020
)
2
,
pp. 191-226
Persistent link: https://www.econbiz.de/10012229792
Saved in:
3
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
4
The impact of quantitative easing on the US term structure of interest rates
Jarrow, Robert A.
;
Li, Hao
- In:
Review of derivatives research
17
(
2014
)
3
,
pp. 287-321
Persistent link: https://www.econbiz.de/10011293077
Saved in:
5
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
Saved in:
6
A forward started jump-diffusion model and pricing of cliquet style exotics
Drimus, Gabriel
- In:
Review of derivatives research
13
(
2010
)
2
,
pp. 125-140
Persistent link: https://www.econbiz.de/10008695496
Saved in:
7
A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
Saved in:
8
Model misspecification analysis for bond options and Markovian hedging strategies
Bossy, Mireille
;
Gibson, Rajna
;
Lhabitant, François-Serge
- In:
Review of derivatives research
9
(
2006
)
2
,
pp. 109-135
Persistent link: https://www.econbiz.de/10003608131
Saved in:
9
A model of the convenience yields in on-the-run treasuries
Cherian, Joseph A.
;
Jacquier, Eric
;
Jarrow, Robert A.
- In:
Review of derivatives research
7
(
2004
)
2
,
pp. 79-97
Persistent link: https://www.econbiz.de/10003153974
Saved in:
10
On the information in the interest rate term structure and option prices
Jong, Frank de
;
Driessen, Joost
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
7
(
2004
)
2
,
pp. 99-127
Persistent link: https://www.econbiz.de/10003153989
Saved in:
11
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
- In:
Review of derivatives research
5
(
2002
)
1
,
pp. 51-80
Persistent link: https://www.econbiz.de/10001652021
Saved in:
12
Stock index dynamics and derivatives pricing with stochastic interest rates
Sørensen, Carsten
- In:
Review of derivatives research
2
(
1999
)
4
,
pp. 261-285
Persistent link: https://www.econbiz.de/10001445799
Saved in:
13
Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
Pang, Kin
- In:
Review of derivatives research
2
(
1999
)
4
,
pp. 315-345
Persistent link: https://www.econbiz.de/10001445802
Saved in:
14
A universal lattice
Chen, Ren-Raw
;
Yang, Tyler T.
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 115-133
Persistent link: https://www.econbiz.de/10001484568
Saved in:
15
Stochastic duration and fast coupon bond option pricing in multi-factor models
Munk, Claus
- In:
Review of derivatives research
3
(
1999
)
2
,
pp. 157-181
Persistent link: https://www.econbiz.de/10001484571
Saved in:
16
Credit risk and credit derivatives : special issue
Brenner, Menachem
(
contributor
); …
-
1998
Persistent link: https://www.econbiz.de/10001497906
Saved in:
17
Term structure modelling of defaultable bonds
Schönbucher, Philipp J.
- In:
Review of derivatives research
2
(
1998
)
2/3
,
pp. 161-192
Persistent link: https://www.econbiz.de/10001497933
Saved in:
18
Estimating the term structures of corporate debt
Schwartz, Tal
- In:
Review of derivatives research
2
(
1998
)
2/3
,
pp. 193-230
Persistent link: https://www.econbiz.de/10001497939
Saved in:
19
On the behavior of long zero coupon rates in a no arbitrage framework
El Karoui, Nicole
- In:
Review of derivatives research
1
(
1997
)
4
,
pp. 351-369
Persistent link: https://www.econbiz.de/10001238755
Saved in:
20
A tractable yield-curve model that guarantees positive interest rates
Pelsser, Antoon André Jean
- In:
Review of derivatives research
1
(
1996
)
3
,
pp. 269-284
Persistent link: https://www.econbiz.de/10001238752
Saved in:
21
American bond option pricing in one-factor dynamic term structure models
Løchte Jørgensen, Peter
- In:
Review of derivatives research
1
(
1996
)
3
,
pp. 245-267
Persistent link: https://www.econbiz.de/10001238753
Saved in:
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