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subject:"Volatility"
~subject:"CAPM"
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Volatility
CAPM
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111
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111
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40
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International journal of theoretical and applied finance
Journal of financial economics
39
NBER working paper series
30
Journal of banking & finance
29
The review of financial studies
26
NBER Working Paper
25
The journal of fixed income
24
The journal of futures markets
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ECONIS (ZBW)
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1
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
4
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
5
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
6
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
7
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Saved in:
8
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
9
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej
;
Muchorski, Rafał
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Saved in:
10
Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman
;
Sayer, Tilman
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
Saved in:
11
Heat kernel models for asset pricing
Macrina, Andrea
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
Saved in:
12
The CARMA interest rate model
Andresen, Arne
;
Benth, Fred Espen
;
Koekebakker, Steen
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
Saved in:
13
Explosive behavior in a log-normal interest rate model
Pirjol, Dan
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009780635
Saved in:
14
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
15
The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano
;
Martini, Claude
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
Saved in:
16
In-arrears term structure products : no arbitrage pricing bounds and the convexity adjustments
Chen, An
;
Sandmann, Klaus
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706335
Saved in:
17
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
18
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
Saved in:
19
Term structure of vanilla options
Brody, Dorje C.
;
Constantinou, Irene C.
;
Meister, …
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1323-1337
Persistent link: https://www.econbiz.de/10003632084
Saved in:
20
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
; …
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 155-202
Persistent link: https://www.econbiz.de/10003415746
Saved in:
21
Implied kernel models
Weigel, Peter
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 575-601
Persistent link: https://www.econbiz.de/10003058621
Saved in:
22
A two-regime, stochastic-volatility extension of the libor market model
Rebonato, Riccardo
;
Kainth, Dherminder
- In:
International journal of theoretical and applied finance
7
(
2004
)
5
,
pp. 555-575
Persistent link: https://www.econbiz.de/10002171465
Saved in:
23
Correlation analysis in the libor and swap market model
De Malherbe, Etienne
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
Saved in:
24
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
25
Mathematical pseudo-completion of the BGM model
Yasuoka, Takashi
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 375-401
Persistent link: https://www.econbiz.de/10001584358
Saved in:
26
On the consistency of the deterministic local volatility function model ("implied tree")
Strobl, Karl
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 545-565
Persistent link: https://www.econbiz.de/10001584372
Saved in:
27
A filtering approach to pricing in multifactor term structure models
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
Saved in:
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