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~subject:"Interest rate derivative"
~type_genre:"Aufsatz im Buch"
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Interest rate derivative
Yield curve
408
Zinsstruktur
408
Theorie
151
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151
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65
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65
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59
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59
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Interest rate modelling after the financial crisis
8
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
New methods in fixed income modeling : fixed income modeling
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
Advances in risk management
1
Analytical models for financial modeling and risk management
1
Bewertung und Einsatz von Finanzderivaten
1
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
1
Dynamic models and their applications in emerging markets
1
Dynamic stochastic optimization : [this volume includes a selection of papers presented at the IFIP/IIASA/GAMM-Workshop on "Dynamic Stochastic Optimization" held at the International Institute for Systems Analysis (IIASA), Laxenburg, Austria, March 11 - 14, 2002]/ Kurt Marti ... (eds.)
1
Financial markets and instruments
1
Geld, Finanzwirtschaft, Banken und Versicherungen : 1996 ; Beiträge zum 7. Symposium Geld, Finanzwirtschaft, Banken und Versicherungen an der Universität Karlsruhe vom 11.- 13. Dezember 1996
1
Geld- und Wirtschaftspolitik in gesellschaftlicher Verantwortung : Gedächtnisschrift für Karl-Heinz Ketterer
1
Investmentmodelle für das Asset-liability-Modelling von Versicherungsunternehmen : Abschlussbericht der Themenfeldgruppe Investmentmodelle
1
Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000
1
Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
1
Reframing financial regulation : enhancing stability and protecting consumers
1
Research handbook of financial markets
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The handbook of fixed income securities
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ECONIS (ZBW)
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1
Interest rate swaps
Wei, Bin
;
Yue, Vivian Z.
- In:
Research handbook of financial markets
,
(pp. 407-428)
.
2023
Persistent link: https://www.econbiz.de/10014331087
Saved in:
2
A new approach to CIR short-term rates modelling
Orlando, Giuseppe
;
Mininni, Rosa Maria
;
Bufalo, Michele
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 35-43)
.
2018
Persistent link: https://www.econbiz.de/10012011576
Saved in:
3
Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework
Di Persio, Luca
;
Gugole, Nicola
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 61-83)
.
2018
Persistent link: https://www.econbiz.de/10012011579
Saved in:
4
Convexity adjustment for constant maturity swaps in a multi-curve framework
Karouzakis, Nikolaos
;
Hatgioannides, John
; …
- In:
Analytical models for financial modeling and risk management
,
(pp. 159-181)
.
2018
Persistent link: https://www.econbiz.de/10011897166
Saved in:
5
Examining arguments made by interest rate cap advocates
Miller, Thomas W.
;
Black, Harold A.
- In:
Reframing financial regulation : enhancing stability …
,
(pp. 342-387)
.
2016
Persistent link: https://www.econbiz.de/10011799954
Saved in:
6
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
7
Approximate option pricing in the Lévy Libor model
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 453-476)
.
2016
Persistent link: https://www.econbiz.de/10011800391
Saved in:
8
Bootstrapping the illiquidity : multiple-yield-curve construction for market-coherent discount and FRA rates estimation
Ametrano, Ferdinando M.
;
Bianchetti, Marco
- In:
Interest rate modelling after the financial crisis
,
(pp. 153-215)
.
2013
Persistent link: https://www.econbiz.de/10011456972
Saved in:
9
Irony in derivative discounting : after the crisis
Henrard, Marc
- In:
Interest rate modelling after the financial crisis
,
(pp. 217-239)
.
2013
Persistent link: https://www.econbiz.de/10011456981
Saved in:
10
Interest rate modelling under full collateralisation
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Interest rate modelling after the financial crisis
,
(pp. 241-282)
.
2013
Persistent link: https://www.econbiz.de/10011456985
Saved in:
11
Building curves on a good basis
Chibane, Messaoud
;
Selvaraj, Jayaprakash
;
Sheldon, Guy
- In:
Interest rate modelling after the financial crisis
,
(pp. 283-310)
.
2013
Persistent link: https://www.econbiz.de/10011456993
Saved in:
12
Libor market models with stochastic basis
Mercurio, Fabio
- In:
Interest rate modelling after the financial crisis
,
(pp. 323-368)
.
2013
Persistent link: https://www.econbiz.de/10011456998
Saved in:
13
Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan
- In:
Interest rate modelling after the financial crisis
,
(pp. 369-391)
.
2013
Persistent link: https://www.econbiz.de/10011457001
Saved in:
14
Multi-curve low dimensional Markovian models in an HJM framework
Torrealba Palacios, Manuel
- In:
Interest rate modelling after the financial crisis
,
(pp. 417-454)
.
2013
Persistent link: https://www.econbiz.de/10011457035
Saved in:
15
Short rate models with stochastic basis and smile
Kenyon, Chris
- In:
Interest rate modelling after the financial crisis
,
(pp. 455-474)
.
2013
Persistent link: https://www.econbiz.de/10011457037
Saved in:
16
A survey on modeling and analysis of basis spreads
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Recent advances in financial engineering 2011: …
,
(pp. 43-53)
.
2012
Persistent link: https://www.econbiz.de/10009573489
Saved in:
17
The determinants of the swap spread and understanding the LIBOR term premium
Choudhry, Moorad
-
2008
Persistent link: https://www.econbiz.de/10003763816
Saved in:
18
Managing interest rate risk under non-parallel changes : an application of a two-factor model
Moreno, Manuel
- In:
Advances in risk management
,
(pp. 69-85)
.
2007
Persistent link: https://www.econbiz.de/10003401583
Saved in:
19
Econometric modelling of the euro using two-factor continous time dynamic interest rate models
Nowman, Khalid B.
;
Thapar, Harry
- In:
Dynamic models and their applications in emerging markets
,
(pp. 69-76)
.
2005
Persistent link: https://www.econbiz.de/10003225351
Saved in:
20
Interest-rate swaps and swaptions
Fabozzi, Frank J.
;
Mann, Steven V.
;
Choudhry, Moorad
- In:
The handbook of fixed income securities
,
(pp. 1249-1281)
.
2005
Persistent link: https://www.econbiz.de/10003055314
Saved in:
21
Forward-Rates als Prediktor für die Entwicklung der Geldmarktzinsen
Holthusen, Jan
- In:
Geld- und Wirtschaftspolitik in gesellschaftlicher …
,
(pp. 255-267)
.
2004
Persistent link: https://www.econbiz.de/10002412082
Saved in:
22
Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.
;
Wets, Roger J.-B.
;
Yang, Liming
- In:
Dynamic stochastic optimization : [this volume includes …
,
(pp. 99-114)
.
2004
Persistent link: https://www.econbiz.de/10003487959
Saved in:
23
Valuation of a credit default swap: the stable non-Gaussian versus the Gaussian approach
D'Souza, Dylan
;
Amir-Atefi, Keyvan
;
Racheva-Jotova, Borjana
- In:
Credit risk : measurement, evaluation and management ; …
,
(pp. 49-84)
.
2003
Persistent link: https://www.econbiz.de/10002001435
Saved in:
24
Arbitrage-free interpolation in models of market observable interest rates
Schlögl, Erik
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 198-218)
.
2002
Persistent link: https://www.econbiz.de/10001672236
Saved in:
25
On the term structure of futures and forward prices
Björk, Tomas
;
Landén, Camilla
- In:
Mathematical finance - Bachelier Congress, 2000 : …
,
(pp. 111-149)
.
2002
Persistent link: https://www.econbiz.de/10001679437
Saved in:
26
Spezielle Zinskurven - zeitdiskrete Modelle für Zinsstrukturkurven
Schlüchtermann, Georg
- In:
Investmentmodelle für das Asset-liability-Modelling …
,
(pp. 285-317)
.
2001
Persistent link: https://www.econbiz.de/10001661210
Saved in:
27
The information convent of forward rates : empirical evidence from Germany
Gischer, Horst
- In:
Geld, Finanzwirtschaft, Banken und Versicherungen : …
,
(pp. 243-255)
.
1997
Persistent link: https://www.econbiz.de/10001298431
Saved in:
28
Erfahrungen bei dem Einsatz von Modellen zur Bewertung von Zinsoptionen : eine empirische Studie
Bühler, Wolfgang
(
contributor
)
- In:
Bewertung und Einsatz von Finanzderivaten
,
(pp. 1-42)
.
1997
Persistent link: https://www.econbiz.de/10001321785
Saved in:
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