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Mathematical finance : an international journal of mathematics, statistics and financial theory
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5
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4
Die Bank
4
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Investmentmodelle für das Asset-liability-Modelling von Versicherungsunternehmen : Abschlussbericht der Themenfeldgruppe Investmentmodelle
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Japan's economic recovery : commercial policy, monetary policy, and corporate governance
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ECONIS (ZBW)
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1
Discount models
Filipović, Damir
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
Saved in:
2
Fiscal policy and the nominal term premium
Horváth, Roman
;
Kaszab, Lorant
;
Marsal, Ales
- In:
Journal of money, credit and banking : JMCB
54
(
2022
)
2/3
,
pp. 663-683
Persistent link: https://www.econbiz.de/10013167515
Saved in:
3
Interest rate rules and inflation risks in a macro-finance model
Horváth, Roman
;
Kaszab, Lorant
;
Marsal, Ales
- In:
Scottish journal of political economy : the journal of …
69
(
2022
)
4
,
pp. 416-440
Persistent link: https://www.econbiz.de/10013396108
Saved in:
4
Zero-coupon yields and the cross-section of bond prices
Pancost, N. Aaron
- In:
Review of asset pricing studies : RAPS
11
(
2021
)
2
,
pp. 209-268
Persistent link: https://www.econbiz.de/10012545905
Saved in:
5
Choosing the weighting coefficients for estimating the term structure from sovereign bonds
Lapshin, Victor
;
Sohatskaya, Sofia
- In:
International review of economics & finance : IREF
70
(
2020
),
pp. 635-648
Persistent link: https://www.econbiz.de/10012486846
Saved in:
6
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
Saved in:
7
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
8
The effects of foreign shocks when interest rates are at zero
Bodenstein, Martin
;
Erceg, Christopher J.
;
Guerrieri, Luca
- In:
The Canadian journal of economics
50
(
2017
)
3
,
pp. 660-684
Persistent link: https://www.econbiz.de/10011817400
Saved in:
9
Bond pricing under the generalised Black-Karasinski models
Thakoor, Nawdha
;
Tangman, Désiré Yannick
;
Bhuruth, Muddun
- In:
International journal of financial markets and derivatives
6
(
2017
)
1
,
pp. 57-73
Persistent link: https://www.econbiz.de/10011862372
Saved in:
10
Are pre-funded bonds good substitutes for zeros in corporate financing?
Hung, Ken
;
Liu, Shinhua
- In:
International journal of bonds and derivatives
2
(
2016
)
4
,
pp. 365-378
Persistent link: https://www.econbiz.de/10011807750
Saved in:
11
A regime-switching model to evaluate bonds in a quadratic term structure of interest rates
Boroumand, Raphaël Homayoun
;
Goutte, Stéphane
; …
- In:
Applied financial economics
24
(
2014
)
19/21
,
pp. 1361-1366
Persistent link: https://www.econbiz.de/10010460151
Saved in:
12
The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
Reher, Gerrit
;
Wilfling, Bernd
- In:
International review of economics & finance : IREF
29
(
2014
),
pp. 483-496
Persistent link: https://www.econbiz.de/10010432309
Saved in:
13
The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C.
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
Saved in:
14
Unconventional fiscal policy at the zero bound
Correia, Isabel Horta
;
Farhi, Emmanuel
;
Nicolini, Juan Pablo
- In:
The American economic review
103
(
2013
)
4
,
pp. 1172-1211
Persistent link: https://www.econbiz.de/10009769097
Saved in:
15
Liberty Company Bond teaching resource : using a zero-coupon bond to clarify bond liability accounting
Jones, Daniel J.
- In:
Journal of business case studies
9
(
2013
)
2
,
pp. 145-150
Persistent link: https://www.econbiz.de/10009732869
Saved in:
16
Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality
Goldammer, Verena
;
Schmock, Uwe
- In:
Mathematical finance : an international journal of …
22
(
2012
)
1
,
pp. 185-213
Persistent link: https://www.econbiz.de/10009554684
Saved in:
17
The wishart short rate model
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706330
Saved in:
18
Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
Beliaeva, Natalia A.
;
Nawalkha, Sanjay K.
- In:
Journal of banking & finance
36
(
2012
)
1
,
pp. 151-163
Persistent link: https://www.econbiz.de/10009411156
Saved in:
19
On the Dybvig-Ingersoll-Ross theorem
Kardaras, Constantinos
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 729-740
Persistent link: https://www.econbiz.de/10009614938
Saved in:
20
On incompleteness of bond markets with infinite number of random factors
Barski, Michał
;
Jakubowski, Jacek
;
Zabczyk, Jerzy
- In:
Mathematical finance : an international journal of …
21
(
2011
)
3
,
pp. 541-556
Persistent link: https://www.econbiz.de/10009156015
Saved in:
21
Creating a synthetic after-tax zero-coupon bond using US Treasury STRIP bonds : implications for the true after-tax spot rate
Daves, Phillip R.
;
Ehrhardt, Michael C.
- In:
Applied financial economics
21
(
2011
)
10/12
,
pp. 695-705
Persistent link: https://www.econbiz.de/10009231606
Saved in:
22
Term premia and inflation uncertainty : empirical evidence from an international panel dataset
Wright, Jonathan H.
- In:
The American economic review
101
(
2011
)
4
,
pp. 1514-1534
Persistent link: https://www.econbiz.de/10009232416
Saved in:
23
The Dothan pricing model revisited
Pintoux, Caroline
;
Privault, Nicolas
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 355-363
Persistent link: https://www.econbiz.de/10008935653
Saved in:
24
Discounting damage awards using the zero coupon treasury curve : satisfying legal and economic theory while matching future cash flow projections
Rosenberg, Joseph Irving
- In:
Journal of forensic economics
21
(
2010
)
2
,
pp. 173-194
Persistent link: https://www.econbiz.de/10009305410
Saved in:
25
Interest rate risk in credit markets
Piazzesi, Monika
;
Schneider, Martin
- In:
The American economic review
100
(
2010
)
2
,
pp. 579-584
Persistent link: https://www.econbiz.de/10008748855
Saved in:
26
Monetary policy and the zero bound on nominal interest rates
Amano, Robert A.
;
Shukayev, Malik
- In:
Bank of Canada review
(
2009/10
)
3
,
pp. 3-10
Persistent link: https://www.econbiz.de/10008934408
Saved in:
27
Communicating policy options at the zero bound
Burkhard, Lukas
;
Fischer, Andreas M.
- In:
Journal of international money and finance
28
(
2009
)
5
,
pp. 742-754
Persistent link: https://www.econbiz.de/10003859485
Saved in:
28
Modeling the recovery rate in a reduced form model
Guo, Xin
;
Jarrow, Robert A.
;
Zeng, Yan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
1
,
pp. 73-97
Persistent link: https://www.econbiz.de/10003818346
Saved in:
29
Isolating a measure of inflation expectations for the South African financial market using forward interest rates
Reid, Monique
- In:
The South African journal of economics
77
(
2009
)
3
,
pp. 399-413
Persistent link: https://www.econbiz.de/10003883074
Saved in:
30
Arbitrage-free interpolation of the swap curve
Davis, Mark H. A.
;
Mataix-Pastor, Vicente
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 969-1005
Persistent link: https://www.econbiz.de/10003928772
Saved in:
31
Financing school construction : the tax consequences of stripping
Carlile, Larry L.
;
Hered, Ann A.
;
Hodson, Thane R.
; …
- In:
Municipal finance journal : the state and local …
30
(
2009/10
)
2
,
pp. 71-79
Persistent link: https://www.econbiz.de/10008825940
Saved in:
32
The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi
;
Suo, Wulin
- In:
The journal of futures markets
28
(
2008
)
2
,
pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
Saved in:
33
The zero bound on nominal interest rates : implications for monetary policy
Lavoie, Claude
;
Murchison, Stephen
- In:
Bank of Canada review
(
2007/08
)
1
,
pp. 27-34
Persistent link: https://www.econbiz.de/10003651019
Saved in:
34
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:
35
Testing term structure estimation methods : evidence from the UK STRIPS market
Steeley, James M.
- In:
Journal of money, credit and banking : JMCB
40
(
2008
)
7
,
pp. 1489-1512
Persistent link: https://www.econbiz.de/10003761422
Saved in:
36
Insider trading in an equilibrium model with default : a passage from reduced-form to structural modelling
Campi, Luciano
;
Çetin, Umut
- In:
Finance and stochastics
11
(
2007
)
4
,
pp. 591-602
Persistent link: https://www.econbiz.de/10003645546
Saved in:
37
Factors determining the demand for Polish bonds
Kliber, Agata
- In:
Swedish support to the private sector developing …
.
2007
Persistent link: https://www.econbiz.de/10003785103
Saved in:
38
Effects of the quantitative easing policy : a survey of empirical analyses
Ugai, Hiroshi
- In:
Monetary and economic studies
25
(
2007
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10003435856
Saved in:
39
Information reduction via level crossings in a credit risk model
Jarrow, Robert A.
;
Protter, Philip E.
;
Sezer, A. Deniz
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 195-212
Persistent link: https://www.econbiz.de/10003439757
Saved in:
40
An analytic approximation formula for pricing zero-coupon bonds
Choi, Youngsoo
;
Wirjanto, Tony S.
- In:
Finance research letters
4
(
2007
)
2
,
pp. 116-126
Persistent link: https://www.econbiz.de/10003477217
Saved in:
41
A new approach for computing option prices of the Hull-White type with stepwise reversion and volatility finctions
Jin, Hui
;
Gotoh, Jun-ya
;
Sumita, Ushio
- In:
The journal of derivatives : the official publication …
15
(
2007
)
1
,
pp. 67-85
Persistent link: https://www.econbiz.de/10003611518
Saved in:
42
A simplified firm value-based risky discount bond pricing model
Wang, Alan T.
;
Yang, Sheng-Yung
- In:
Review of Pacific Basin financial markets and policies
10
(
2007
)
3
,
pp. 445-468
Persistent link: https://www.econbiz.de/10003611888
Saved in:
43
Regime shifts in a dynamic term structure model of US treasury bond yields
Dai, Qiang
;
Singleton, Kenneth J.
;
Wei Yang
- In:
The review of financial studies
20
(
2007
)
5
,
pp. 1669-1706
Persistent link: https://www.econbiz.de/10003621217
Saved in:
44
Approximate formulas for zero-coupon bonds
Tourrucôo, Fabricio
;
Hagan, Patrick S.
;
Schleiniger, …
- In:
Applied mathematical finance
14
(
2007
)
3
,
pp. 207-226
Persistent link: https://www.econbiz.de/10003543014
Saved in:
45
Switiching VARMA term structure models
Monfort, Alain
;
Pegoraro, Fulvio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 105-153
Persistent link: https://www.econbiz.de/10003518289
Saved in:
46
Uncovered interest rate parity and the term structure
Bekaert, Geert
;
Wei, Min
;
Xing, Yuhang
- In:
Journal of international money and finance
26
(
2007
)
6
,
pp. 1038-1069
Persistent link: https://www.econbiz.de/10003515503
Saved in:
47
Optimal simple rules and the lower bound on the nominal interest rate in the Christiano-Eichenbaum-Evans model of the US business cycle
Ascari, Guido
;
Branzoli, Nicola
- In:
Portuguese economic journal
6
(
2007
)
2
,
pp. 117-131
Persistent link: https://www.econbiz.de/10003533288
Saved in:
48
International capital markets and foreign exchange risk
Brennan, Michael J.
;
Xia, Yihong
- In:
The review of financial studies
19
(
2006
)
3
,
pp. 753-795
Persistent link: https://www.econbiz.de/10003358382
Saved in:
49
Yield curve estimation at the National Bank of Poland: spline based methods, curve smoothing and market dynamics
Marciniak, Marek
- In:
Bank i kredyt
37
(
2006
)
10
,
pp. 52-74
Persistent link: https://www.econbiz.de/10003426773
Saved in:
50
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
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