//--> //--> //-->
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:"Review of derivatives research"
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:"LIBOR market model"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Yield curve
30
Zinsstruktur
30
Option pricing theory
18
Optionspreistheorie
18
Theorie
17
Theory
17
Derivat
10
Derivative
10
Interest rate derivative
6
Zinsderivat
6
Credit risk
5
Kreditrisiko
5
USA
5
United States
5
Volatility
5
Volatilität
5
Anleihe
3
Bond
3
Markov chain
3
Markov-Kette
3
Option trading
3
Optionsgeschäft
3
Public bond
3
Stochastic process
3
Stochastischer Prozess
3
Swap
3
Öffentliche Anleihe
3
Corporate bond
2
Efficient market hypothesis
2
Effizienzmarkthypothese
2
Estimation
2
Interest rate
2
Portfolio selection
2
Portfolio-Management
2
Schätzung
2
Unternehmensanleihe
2
Zero-Bond
2
Zero-coupon bond
2
Zins
2
1992-1995
1
more ...
less ...
Online availability
All
Undetermined
8
Free
1
Type of publication
All
Article
29
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
30
Aufsatz in Zeitschrift
30
Collection of articles of several authors
1
Sammelwerk
1
Language
All
English
30
Author
All
Pelsser, Antoon André Jean
3
Jarrow, Robert A.
2
Ahn, Dong-Hyun
1
Bossy, Mireille
1
Brenner, Menachem
1
Büchel, Patrick
1
Chen, Ren-Raw
1
Cherian, Joseph A.
1
Chiarella, Carl
1
Christiansen, Charlotte
1
Costabile, Massimo
1
Driessen, Joost
1
Drimus, Gabriel
1
Díaz Pérez, Antonio
1
Eghbalzadeh, Ramin
1
El Karoui, Nicole
1
Frachot, Antoine
1
Gaillardetz, Patrice
1
Gao, Bin
1
Geman, Hélyette
1
Gibson, Rajna
1
Godin, Frédéric
1
Huang, Li-Jhang
1
Jacquier, Eric
1
Jareño, Francisco
1
Jong, Frank de
1
Kim, Sung Ik
1
Kim, Young Shin
1
Kratochwil, Michael
1
Kwon, Oh Kang
1
Leippold, Markus
1
Lhabitant, François-Serge
1
Li, Hao
1
Lim, Kian-Guan
1
Løchte Jørgensen, Peter
1
Ma, Chaoqun
1
Ma, Zonggang
1
Massabo, Ivar
1
Munk, Claus
1
Nagl, Maximilian
1
more ...
less ...
Published in...
All
Review of derivatives research
NBER working paper series
264
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
117
Journal of financial economics
116
International journal of theoretical and applied finance
111
Finance and economics discussion series
106
IMF working papers
105
Working paper series / European Central Bank
105
Journal of money, credit and banking : JMCB
92
Working paper
91
Economics letters
85
International review of economics & finance : IREF
85
Applied economics
83
The review of financial studies
83
Finance research letters
78
The journal of finance : the journal of the American Finance Association
76
Economic modelling
72
Journal of monetary economics
72
Journal of empirical finance
71
Mathematical finance : an international journal of mathematics, statistics and financial theory
69
Applied financial economics
68
International review of financial analysis
64
Journal of economic dynamics & control
64
Working papers series / Federal Reserve Bank of San Francisco
64
Applied economics letters
61
Discussion paper
59
Journal of financial and quantitative analysis : JFQA
59
Journal of international financial markets, institutions & money
58
The journal of futures markets
58
CESifo working papers
57
Discussion papers / CEPR
57
ECB Working Paper
56
The North American journal of economics and finance : a journal of financial economics studies
56
IMF working paper
52
Staff reports / Federal Reserve Bank of New York
52
Finance and stochastics
51
more ...
less ...
Source
All
ECONIS (ZBW)
30
Showing
1
-
30
of
30
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Deep calibration of financial models : turning theory into practice
Büchel, Patrick
;
Kratochwil, Michael
;
Nagl, Maximilian
; …
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
Saved in:
2
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:
3
CMS spread options in quadratic Gaussian model
Rakhmonov, Parviz
;
Rakhmonov, Firuz
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 283-291
Persistent link: https://www.econbiz.de/10013457623
Saved in:
4
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk : application of Mellin transform methods
Ma, Zonggang
;
Ma, Chaoqun
;
Wu, Zhijian
- In:
Review of derivatives research
25
(
2022
)
1
,
pp. 47-91
Persistent link: https://www.econbiz.de/10013191382
Saved in:
5
Bermudan option in Singapore Savings Bonds
Lim, Kian-Guan
- In:
Review of derivatives research
24
(
2021
)
1
,
pp. 31-54
Persistent link: https://www.econbiz.de/10012498470
Saved in:
6
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:
7
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:
8
Tempered stable structural model in pricing credit spread and credit default swap
Kim, Sung Ik
;
Kim, Young Shin
- In:
Review of derivatives research
21
(
2018
)
1
,
pp. 119-148
Persistent link: https://www.econbiz.de/10012055733
Saved in:
9
Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.
;
Rudolph, David
;
Stöckl, Stefan
- In:
Review of derivatives research
18
(
2015
)
2
,
pp. 107-143
Persistent link: https://www.econbiz.de/10011477291
Saved in:
10
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:
11
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:
12
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:
13
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:
14
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:
15
Efficient calibration of trinomial trees for one-factor short rate models
Leippold, Markus
;
Wiener, Zvi
- In:
Review of derivatives research
7
(
2004
)
3
,
pp. 213-239
Persistent link: https://www.econbiz.de/10002566687
Saved in:
16
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:
17
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:
18
Locally complete markets, exchange rates and currency options
Ahn, Dong-Hyun
;
Gao, Bin
- In:
Review of derivatives research
6
(
2003
)
1
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001772396
Saved in:
19
Finite dimensional affine realisations of HJM models in terms of forward rates and yields
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Review of derivatives research
6
(
2003
)
2
,
pp. 129-155
Persistent link: https://www.econbiz.de/10001857662
Saved in:
20
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:
21
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:
22
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:
23
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:
24
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:
25
Credit risk and credit derivatives : special issue
Brenner, Menachem
(
contributor
); …
-
1998
Persistent link: https://www.econbiz.de/10001497906
Saved in:
26
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:
27
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:
28
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:
29
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:
30
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:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->