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person:"Chiarella, Carl"
~subject:"Interest rate derivative"
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Interest rate derivative
Volatility
61
Volatilität
61
Theorie
32
Theory
32
Stochastic process
29
Stochastischer Prozess
29
Option pricing theory
24
Optionspreistheorie
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Derivative
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Australia
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Australien
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Chiarella, Carl
Hautsch, Nikolaus
12
Hess, Dieter
10
Moraleda Novo, Juan Manuel
7
Christiansen, Charlotte
5
Fang, Victor
5
Fornari, Fabio
5
Mercurio, Fabio
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Veredas, David
5
Azad, A. S. M. Sohel
4
Bernoth, Kerstin
4
Bhar, Ramaprasad
4
Filipović, Damir
4
Gerhard, Frank
4
Rebonato, Riccardo
4
Smales, Lee A.
4
Trolle, Anders B.
4
Bachmair, Kilian
3
Bhargava, Vivek
3
Björk, Tomas
3
Hagen, Jürgen von
3
Malhotra, Davinder Kumar
3
Neuhaus, Holger
3
Ritchken, Peter H.
3
Strunk Hansen, Charlotte
3
Vorst, Ton
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Zühlsdorff, Christian
3
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Bliss, Robert R.
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Bødskov Andersen, Allan
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Gurrola-Perez, Pedro
2
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Advances in Pacific Basin financial markets
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
Applied mathematical finance
1
Asia-Pacific financial markets
1
The journal of futures markets
1
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
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ECONIS (ZBW)
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1
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
2
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
3
The jump component of the volatility structure of interest rate futures markets : an international comparison
Chiarella, Carl
;
Tô, Thuy-duong
- In:
The journal of futures markets
23
(
2003
)
12
,
pp. 1125-1158
Persistent link: https://www.econbiz.de/10001828527
Saved in:
4
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
- In:
Asia-Pacific financial markets
10
(
2003
)
2/3
,
pp. 87-127
Persistent link: https://www.econbiz.de/10002762516
Saved in:
5
Estimating interest rate futures model in the Heath-Jarrow-Morton framework
Bhar, Ramaprasad
- In:
Advances in Pacific Basin financial markets
4
(
1998
),
pp. 211-226
Persistent link: https://www.econbiz.de/10001250661
Saved in:
6
Estimating the term structure of volatility in bond prices by use of Kalman filter methodology
Bhar, Ramaprasad
- In:
Advances in Pacific Basin financial markets
3
(
1997
),
pp. 243-256
Persistent link: https://www.econbiz.de/10001243735
Saved in:
7
Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad
- In:
Applied mathematical finance
4
(
1997
)
4
,
pp. 181-199
Persistent link: https://www.econbiz.de/10001238761
Saved in:
8
Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad
;
Chiarella, Carl
-
1995
Persistent link: https://www.econbiz.de/10000951351
Saved in:
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