//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"The journal of fixed income"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Interest rate derivative"
Narrow search
Delete all filters
| 2 applied filters
Year of publication
From:
To:
Subject
All
Interest rate derivative
54
Zinsderivat
54
Theorie
28
Theory
28
Yield curve
27
Zinsstruktur
27
Option pricing theory
15
Optionspreistheorie
15
USA
14
United States
14
Swap
8
Volatility
6
Volatilität
6
CAPM
4
Credit risk
4
Derivat
4
Derivative
4
Hedging
4
Kreditrisiko
4
Estimation
3
Großbritannien
3
Schätzung
3
United Kingdom
3
Currency derivative
2
Forecasting model
2
Geldmarkt
2
Interest rate
2
Japan
2
Money market
2
Prognoseverfahren
2
Public bond
2
Risikoprämie
2
Risk premium
2
Stochastic process
2
Stochastischer Prozess
2
Währungsderivat
2
Zins
2
Öffentliche Anleihe
2
1982-1990
1
1990-1993
1
more ...
less ...
Type of publication
All
Article
54
Type of publication (narrower categories)
All
Article in journal
54
Aufsatz in Zeitschrift
54
Language
All
English
54
Author
All
Chen, Son-nan
4
Wu, Ting-pin
4
Ap Gwilym, Owain
2
Brown, Rob
2
Chen, Ren-Raw
2
Fang, Victor
2
Ho, Thomas S. Y.
2
In, Francis Haeuck
2
Arvanitis, Angelo
1
Baba, Naohiko
1
Bandreddi, Santhosh
1
Beliaeva, Natalia A.
1
Belton, Terrence M.
1
Ben-Ameur, Hatem
1
Benner, Wolfgang
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
Brooks, Robert
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chowdhury, Muinul
1
Chung, San-Lin
1
Clewlow, Les
1
Curtillet, Jean-Christophe
1
Das, Sanjiv R.
1
Dharan, Venkat G.
1
Dynkin, Lev
1
Eom, Young Ho
1
Fabozzi, Frank J.
1
Fan, Rong
1
Gargouri, Ayoub
1
Greenfield, Yuri
1
Gregory, Jonathon
1
Han, H. G.
1
Hattori, Takahiro
1
Howton, Shawn D.
1
Hull, John
1
Jamshidian, Farshid
1
Jensen, Malene Shin
1
Joneja, Dev
1
more ...
less ...
Published in...
All
The journal of fixed income
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
137
International journal of theoretical and applied finance
33
Advances in futures and options research : a research annual
28
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Review of derivatives research
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Europäische Hochschulschriften / 5
11
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Working paper
11
SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
9
Report / Erasmus Center for Financial Research, Erasmus University
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
IMF Working Papers
7
Interest rate futures : concepts and issues
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Quantitative finance
7
more ...
less ...
Source
All
ECONIS (ZBW)
54
Showing
1
-
50
of
54
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
2
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
3
The predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
4
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
5
Calibrating short interest rate models in negative rate environments
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 80-92
Persistent link: https://www.econbiz.de/10011687429
Saved in:
6
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 24-35
Persistent link: https://www.econbiz.de/10011404521
Saved in:
7
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
Saved in:
8
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
9
Valuing interest rate swaps using overnight indexed swap (OIS) discounting
Smith, Donald J.
- In:
The journal of derivatives : the official publication …
20
(
2013
)
4
,
pp. 49-59
Persistent link: https://www.econbiz.de/10009760534
Saved in:
10
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
11
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
Saved in:
12
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:
13
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
14
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
15
Embedded options in treasury bond futures prices : new evidence
Chen, Ren-Raw
;
Ju, Hann-shing
;
Yeh, Shih-kuo
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 82-95
Persistent link: https://www.econbiz.de/10003875982
Saved in:
16
A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang
;
Zyapkov, Lyudmil
;
Jortzik, Stephan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
Saved in:
17
Pricing American interest rate options under the jump-extended Vasicek model
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
;
Soto, Gloria M.
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10003771447
Saved in:
18
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
19
Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
Saved in:
20
Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y.
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
Saved in:
21
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
22
Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh
;
Das, Sanjiv R.
;
Fan, Rong
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
Saved in:
23
Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
Saved in:
24
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:
25
Interest rate swaps : reconciliation of models
Klein, Peter
- In:
The journal of derivatives : the official publication …
12
(
2004
)
1
,
pp. 46-57
Persistent link: https://www.econbiz.de/10002210957
Saved in:
26
Links among interest rate swap markets : US, UK, and Japan
In, Francis Haeuck
;
Brown, Rob
;
Fang, Victor
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 84-95
Persistent link: https://www.econbiz.de/10001968467
Saved in:
27
Pricing Asian-style interest rate swaps
Chang, Chuang-Chang
;
Chung, San-Lin
- In:
The journal of derivatives : the official publication …
9
(
2002
)
4
,
pp. 45-55
Persistent link: https://www.econbiz.de/10001708447
Saved in:
28
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
Saved in:
29
Modeling the determinants of swap spreads
Brown, Rob
;
In, Francis Haeuck
;
Fang, Victor
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 29-40
Persistent link: https://www.econbiz.de/10001725696
Saved in:
30
Swaps as a synthetic asset class
Belton, Terrence M.
;
Wadhwa, Pavan
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001763886
Saved in:
31
The cost of tax policy uncertainty : evidence from the municipal swap market
Brooks, Robert
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001763891
Saved in:
32
The Lehman brothers swap indexes
Dynkin, Lev
;
Greenfield, Yuri
;
Joneja, Dev
- In:
The journal of fixed income
12
(
2002
)
2
,
pp. 28-42
Persistent link: https://www.econbiz.de/10001745237
Saved in:
33
The bootstrap algorithm, par swaps, and the FRN method
Novak, David J.
- In:
The journal of derivatives : the official publication …
8
(
2000
)
2
,
pp. 51-54
Persistent link: https://www.econbiz.de/10001545165
Saved in:
34
Forward versus spot interest rate models of the term structure
Moraleda Novo, Juan Manuel
;
Pelsser, Antoon André Jean
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 9-21
Persistent link: https://www.econbiz.de/10001497753
Saved in:
35
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
36
Interbank interest rates and the risk premium
Pagès, Henri
- In:
The journal of fixed income
9
(
2000
)
4
,
pp. 75-95
Persistent link: https://www.econbiz.de/10001495253
Saved in:
37
Duration-based hedging with Treasury bond futures
Rendleman, Richard J.
- In:
The journal of fixed income
9
(
1999
)
1
,
pp. 84-91
Persistent link: https://www.econbiz.de/10001432382
Saved in:
38
A simple non-parametric approach to bond futures option pricing
Stutzer, Michael J.
;
Chowdhury, Muinul
- In:
The journal of fixed income
8
(
1999
)
4
,
pp. 67-76
Persistent link: https://www.econbiz.de/10001432409
Saved in:
39
Building models for credit spreads
Arvanitis, Angelo
;
Gregory, Jonathon
;
Laurent, Jean-Paul
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 27-43
Persistent link: https://www.econbiz.de/10001432491
Saved in:
40
Managerial compensation and firm derivative usage : an empirical analysis
Howton, Shawn D.
;
Perfect, Steven B.
- In:
The journal of derivatives : the official publication …
6
(
1998
)
2
,
pp. 53-64
Persistent link: https://www.econbiz.de/10001355629
Saved in:
41
The influence of electronic trading on bid-ask spreads : new evidence from European bond futures
Ap Gwilym, Owain
- In:
The journal of fixed income
8
(
1998
)
1
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001246662
Saved in:
42
A Markov chain model for valuing credit risk derivatives
Kijima, Masaaki
- In:
The journal of derivatives : the official publication …
6
(
1998
)
1
,
pp. 97-108
Persistent link: https://www.econbiz.de/10001248808
Saved in:
43
Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les
- In:
The journal of fixed income
7
(
1997
)
3
,
pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
Saved in:
44
Pricing path-dependent interest rate contingent claims using a lattice
Dharan, Venkat G.
- In:
The journal of fixed income
6
(
1997
)
4
,
pp. 40-49
Persistent link: https://www.econbiz.de/10001218360
Saved in:
45
An empirical examination of the Longstaff-Schwartz bond option valuation model
Uhrig, Marliese
- In:
The journal of derivatives : the official publication …
4
(
1996
)
1
,
pp. 41-54
Persistent link: https://www.econbiz.de/10001207623
Saved in:
46
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:
47
The intraday behavior of European bond futures
Ap Gwilym, Owain
(
contributor
)
- In:
The journal of fixed income
6
(
1996
)
2
,
pp. 49-66
Persistent link: https://www.econbiz.de/10001208584
Saved in:
48
Interest rate options in multifactor Cox-Ingersoll-Ross models of the term structure
Chen, Ren-Raw
- In:
The journal of derivatives : the official publication …
3
(
1995
)
2
,
pp. 53-72
Persistent link: https://www.econbiz.de/10001223183
Saved in:
49
Interest rate digital options and range notes
Turnbull, Stuart M.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
1
,
pp. 92-101
Persistent link: https://www.econbiz.de/10001219428
Saved in:
50
The importance of forward rate volatility structures in pricing interest rate-sensitive claims
Ritchken, Peter H.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
1
,
pp. 25-41
Persistent link: https://www.econbiz.de/10001219431
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->