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Option pricing theory
36
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15
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11
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Fabozzi, Frank J.
4
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2
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2
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2
Sun, Jian
2
Angbazo, Lazarus A.
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1
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1
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1
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The journal of fixed income
International journal of theoretical and applied finance
467
The journal of futures markets
261
Mathematical finance : an international journal of mathematics, statistics and financial theory
255
The journal of computational finance
254
Applied mathematical finance
244
Finance and stochastics
218
Journal of banking & finance
209
The journal of derivatives : the official publication of the International Association of Financial Engineers
203
Quantitative finance
199
Review of derivatives research
170
Insurance / Mathematics & economics
139
European journal of operational research : EJOR
133
Journal of economic dynamics & control
131
International journal of financial engineering
116
Finance research letters
115
Computational economics
107
Journal of mathematical finance
107
Risks : open access journal
96
Research paper series / Swiss Finance Institute
87
The North American journal of economics and finance : a journal of financial economics studies
83
The European journal of finance
81
Journal of financial economics
79
Asia-Pacific financial markets
77
Journal of econometrics
66
Energy economics
59
Journal of financial and quantitative analysis : JFQA
58
NBER working paper series
58
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
57
Review of quantitative finance and accounting
55
The journal of finance : the journal of the American Finance Association
55
SFB 649 discussion paper
54
Annals of finance
52
Journal of risk and financial management : JRFM
50
The journal of real estate finance and economics
50
The review of financial studies
50
Working paper / National Bureau of Economic Research, Inc.
50
Economic modelling
49
International review of economics & finance : IREF
48
Decisions in economics and finance : DEF ; a journal of applied mathematics
47
Management science : journal of the Institute for Operations Research and the Management Sciences
46
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1
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
Saved in:
2
Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
27
(
2017
)
2
,
pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
Saved in:
3
The effect of default and conversion options on bond duration
Horchani, Sana
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 26-35
Persistent link: https://www.econbiz.de/10011429757
Saved in:
4
Implied remaining variance with application to Bachelier model
Sun, Jian
;
Niu, Qiankun
;
Cao, Shinan
;
Carr, Peter
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 78-95
Persistent link: https://www.econbiz.de/10011684715
Saved in:
5
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
6
Implied remaining variance in derivative pricing
Carr, Peter
;
Sun, Jian
- In:
The journal of fixed income
23
(
2014
)
4
,
pp. 19-32
Persistent link: https://www.econbiz.de/10010388877
Saved in:
7
Pricing agency MBS under quadratic Gaussian models
Bai, Xu
- In:
The journal of fixed income
23
(
2014
)
3
,
pp. 15-35
Persistent link: https://www.econbiz.de/10010388894
Saved in:
8
Mortgage option deltas
Landrigan, Michael
;
Sun, Danny
- In:
The journal of fixed income
23
(
2014
)
3
,
pp. 5-14
Persistent link: https://www.econbiz.de/10010388899
Saved in:
9
CMBS tranche valuation framework : correlated geometric Brownian motions simulation
Shiu, Peijie
;
Luong, Uyen
;
Rozov, Yadin
- In:
The journal of fixed income
21
(
2011
)
1
,
pp. 55-66
Persistent link: https://www.econbiz.de/10009314955
Saved in:
10
Corporate bond pricing and the effects of endogenous default and call options
Jacoby, Gady
;
Shiller, Ilona
- In:
The journal of fixed income
20
(
2010/11
)
2
,
pp. 80-100
Persistent link: https://www.econbiz.de/10008667944
Saved in:
11
A unified credit and interest rate arbitrage-free contingent claim model
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
18
(
2008/09
)
3
,
pp. 5-17
Persistent link: https://www.econbiz.de/10003808952
Saved in:
12
Valuation of bond illiquidity : an option-theoretical approach
Koziol, Christian
;
Sauerbier, Peter
- In:
The journal of fixed income
16
(
2007
)
4
,
pp. 81-107
Persistent link: https://www.econbiz.de/10003457035
Saved in:
13
The performance of option-based default risk models on commercial mortgages : an empirical investigation
Liu, Yi-kang
;
Jabbour, George M.
;
Green, Richard K.
- In:
The journal of fixed income
17
(
2007
)
2
,
pp. 63-76
Persistent link: https://www.econbiz.de/10003628229
Saved in:
14
Explaining the correlation smile using variance gamma distributions
Moosbrucker, Thomas
- In:
The journal of fixed income
16
(
2006
)
1
,
pp. 71-87
Persistent link: https://www.econbiz.de/10003376596
Saved in:
15
An empirical study of credit default swaps
Skinner, Frank S.
;
Díaz Pérez, Antonio
- In:
The journal of fixed income
13
(
2003
)
1
,
pp. 28-38
Persistent link: https://www.econbiz.de/10001782459
Saved in:
16
A two-factor term structure model under GARCH volatility
Heston, Steven L.
;
Nandi, Saikat
- In:
The journal of fixed income
13
(
2003
)
1
,
pp. 87-95
Persistent link: https://www.econbiz.de/10001782469
Saved in:
17
The complexities of mortgage options
Prendergast, Joseph R.
- In:
The journal of fixed income
12
(
2002
)
4
,
pp. 7-24
Persistent link: https://www.econbiz.de/10001774633
Saved in:
18
A fixed-rate mortgage valuation model in three state variables
Brunson, Andrew L.
;
Kau, James B.
;
Keenan, Donald C.
- In:
The journal of fixed income
11
(
2001
)
1
,
pp. 17-27
Persistent link: https://www.econbiz.de/10001595320
Saved in:
19
Impact of different interest rate models on bond value measures
Buetow, Gerald W.
;
Hanke, Bernd
;
Fabozzi, Frank J.
- In:
The journal of fixed income
11
(
2001
)
3
,
pp. 41-53
Persistent link: https://www.econbiz.de/10001706063
Saved in:
20
Does implied volatility imply volatility - in bonds?
Bertonazzi, Eric P.
;
Maloney, Michael T.
- In:
The journal of fixed income
11
(
2001
)
3
,
pp. 54-60
Persistent link: https://www.econbiz.de/10001706066
Saved in:
21
A Three-factor defaultable term structure model
Schmid, Bernd
;
Zagst, Rudi
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 63-79
Persistent link: https://www.econbiz.de/10001530347
Saved in:
22
Implementation of the BDT model with different volatility estimators : applications to Eurodollar futures options
Bali, Turan G.
;
Karagozoglu, Ahmet K.
- In:
The journal of fixed income
8
(
1999
)
4
,
pp. 24-34
Persistent link: https://www.econbiz.de/10001432399
Saved in:
23
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:
24
Consistent versus non-consistent term structure models : some evidence from the Spanish market
Navas, Javier F.
- In:
The journal of fixed income
9
(
1999
)
3
,
pp. 42-60
Persistent link: https://www.econbiz.de/10001448117
Saved in:
25
Mortgage prepayment float : pricing and risk analysis
Angbazo, Lazarus A.
(
contributor
)
- In:
The journal of fixed income
7
(
1998
)
4
,
pp. 83-93
Persistent link: https://www.econbiz.de/10001243517
Saved in:
26
An improved finite difference approach to fitting the initial term structure
Vetzal, Kenneth R.
- In:
The journal of fixed income
7
(
1998
)
4
,
pp. 62-81
Persistent link: https://www.econbiz.de/10001243519
Saved in:
27
Valuation of defaultable bonds
Cathcart, Lara
- In:
The journal of fixed income
8
(
1998
)
1
,
pp. 65-78
Persistent link: https://www.econbiz.de/10001246656
Saved in:
28
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:
29
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:
30
Implementing an option-theoretic CMO valuation model with recent prepayment data
Singh, Manoj K.
- In:
The journal of fixed income
5
(
1996
)
4
,
pp. 45-55
Persistent link: https://www.econbiz.de/10001204425
Saved in:
31
Estimating the term structure of volatility and fixed-income derivative pricing
Gonçalves, Franklin de O.
- In:
The journal of fixed income
6
(
1996
)
1
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001205427
Saved in:
32
A binomial tree for the Hull and White model with probabilities independent of the initial term structure
Reisman, Haim
- In:
The journal of fixed income
6
(
1996
)
3
,
pp. 92-96
Persistent link: https://www.econbiz.de/10001214245
Saved in:
33
Hedging interest rate risk with options on average interest rates
Longstaff, Francis A.
- In:
The journal of fixed income
4
(
1995
)
4
,
pp. 37-45
Persistent link: https://www.econbiz.de/10001178064
Saved in:
34
Discrete-time versions of continuous-time interest rate models
Heston, Steven L.
- In:
The journal of fixed income
5
(
1995
)
2
,
pp. 86-88
Persistent link: https://www.econbiz.de/10001213236
Saved in:
35
Efficient and flexible bond option valuation in the Heath, Jarrow, and Morton framework
Carverhill, Andrew
- In:
The journal of fixed income
5
(
1995
)
2
,
pp. 70-77
Persistent link: https://www.econbiz.de/10001213239
Saved in:
36
Valuing credit derivatives
Longstaff, Francis A.
- In:
The journal of fixed income
5
(
1995
)
1
,
pp. 6-12
Persistent link: https://www.econbiz.de/10001213254
Saved in:
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