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Swap
23
Option pricing theory
15
Optionspreistheorie
15
Volatility
11
Volatilität
11
Theorie
10
Theory
10
Derivat
7
Derivative
7
Interest rate derivative
5
Stochastic process
5
Stochastischer Prozess
5
Zinsderivat
5
Yield curve
4
Zinsstruktur
4
Analysis of variance
3
Credit risk
3
Hedging
3
Kreditrisiko
3
Varianzanalyse
3
Credit derivative
2
Kreditderivat
2
Lévy processes
2
Option trading
2
Optionsgeschäft
2
Variance swap
2
3/2-volatility model
1
Bermudan Swaptions
1
Bundling strategy
1
CAPM
1
Computer network
1
Computernetz
1
Discrete variance swap
1
Euromarkets
1
Euromarkt
1
Experiment
1
Financial crisis
1
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1
Heston model
1
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23
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Eberlein, Ernst
2
Rutkowski, Marek
2
Aly, Sidi Mohamed Ould
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Baldeaux, Jan
1
Bee, Marco
1
Benth, Fred Espen
1
Bernard, Carole
1
Börger, Reik H.
1
Chan, Leunglung
1
Chung, San-lin
1
Cui, Zhenyu
1
Dempster, Michael A. H.
1
Drimus, Gabriel
1
Elliott, Robert J.
1
Forde, Martin
1
Gerhart, Christoph
1
Goard, Joanna
1
Grasselli, M. R.
1
Groth, Martin
1
Henrard, Marc
1
Heys, Jan van
1
Hinnerich, Mia
1
Hurd, T. R.
1
Hutton, J. P.
1
Jacquier, Antoine
1
Jain, Shashi
1
Karlsson, Patrik
1
Kufakunesu, Rodwell
1
Kwok, Yue-Kuen
1
Liinev, J.
1
Lütkebohmert-Holtz, Eva
1
Mancino, M. E.
1
Oosterlee, Cornelis Willebrordus
1
Scotti, S.
1
Siu, Tak Kuen
1
Toscano, G.
1
Yamazaki, Akira
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Yang, Hsiao-fen
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Applied mathematical finance
International journal of theoretical and applied finance
43
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Journal of banking & finance
26
NBER working paper series
24
The journal of fixed income
24
The journal of financial crises
22
International review of financial analysis
21
The journal of futures markets
20
Working paper / National Bureau of Economic Research, Inc.
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Journal of financial economics
17
NBER Working Paper
17
The journal of computational finance
17
Journal of international financial markets, institutions & money
15
Review of derivatives research
15
Finance research letters
14
International review of economics & finance : IREF
14
Working Paper
14
European journal of operational research : EJOR
13
Finance and stochastics
13
Research paper series / Swiss Finance Institute
13
Staff working papers / Bank of England
13
The journal of finance : the journal of the American Finance Association
13
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Journal of financial and quantitative analysis : JFQA
11
Journal of international money and finance
11
Journal of securities operations & custody
11
Applied economics
10
Discussion papers / CEPR
10
European financial management : the journal of the European Financial Management Association
10
The European journal of finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
The review of financial studies
10
Discussion paper / Centre for Economic Policy Research
9
Economics letters
9
International journal of financial engineering
9
Journal of financial services research : JFSR
9
Swiss Finance Institute Research Paper
9
The journal of investment compliance
9
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ECONIS (ZBW)
23
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1
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
2
Is the variance swap rate affine in the spot variance? : evidence from S&P500 data
Mancino, M. E.
;
Scotti, S.
;
Toscano, G.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 288-316
Persistent link: https://www.econbiz.de/10012425324
Saved in:
3
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
4
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Yuen, Chi Hung
;
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
Saved in:
5
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
6
Prices and asymptotics for discrete variance swaps
Bernard, Carole
;
Cui, Zhenyu
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 140-173
Persistent link: https://www.econbiz.de/10010352006
Saved in:
7
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
Saved in:
8
Pricing equity swaps in an economy with jumps
Hinnerich, Mia
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 94-117
Persistent link: https://www.econbiz.de/10009737176
Saved in:
9
Options on realized variance in Log-OU models
Drimus, Gabriel
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 477-494
Persistent link: https://www.econbiz.de/10009710936
Saved in:
10
A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
Saved in:
11
Static replication of forward-start claims and realized variance swaps
Baldeaux, Jan
;
Rutkowski, Marek
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 99-131
Persistent link: https://www.econbiz.de/10003975324
Saved in:
12
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
13
Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin
;
Jacquier, Antoine
- In:
Applied mathematical finance
17
(
2010
)
3/4
,
pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
Saved in:
14
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
15
The Lévy swap market model
Eberlein, Ernst
;
Liinev, J.
- In:
Applied mathematical finance
14
(
2007
)
2
,
pp. 171-196
Persistent link: https://www.econbiz.de/10003542983
Saved in:
16
Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.
;
Hurd, T. R.
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
Saved in:
17
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model
Benth, Fred Espen
;
Groth, Martin
;
Kufakunesu, Rodwell
- In:
Applied mathematical finance
14
(
2007
)
4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10003543050
Saved in:
18
A semi-explicit approach to Canary swaptions in HJM one-factor model
Henrard, Marc
- In:
Applied mathematical finance
13
(
2006
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10003320021
Saved in:
19
Pricing quanto equity swaps in a stochastic interest rate economy
Chung, San-lin
;
Yang, Hsiao-fen
- In:
Applied mathematical finance
12
(
2005
)
2
,
pp. 121-146
Persistent link: https://www.econbiz.de/10002989911
Saved in:
20
Modelling credit default swap spreads by means of normal mixtures and copulas
Bee, Marco
- In:
Applied mathematical finance
11
(
2004
)
2
,
pp. 125-146
Persistent link: https://www.econbiz.de/10002085490
Saved in:
21
Volatility skews and extensions of the libor market model
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
Saved in:
22
Models of forward Libor and swap rates
Rutkowski, Marek
- In:
Applied mathematical finance
6
(
1999
)
1
,
pp. 29-60
Persistent link: https://www.econbiz.de/10001449235
Saved in:
23
Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H.
- In:
Applied mathematical finance
4
(
1997
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
Saved in:
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