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Interest rate derivative
23
Zinsderivat
23
Option pricing theory
18
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15
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15
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11
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11
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8
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3
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Kennedy, Joanne E.
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Korn, Ralf
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2
Schoenmakers, John
2
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1
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The journal of computational finance
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
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13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
11
International review of financial analysis
11
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10
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9
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ECONIS (ZBW)
23
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
5
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
6
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
7
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
8
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
9
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
10
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
11
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark S.
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 115-140
Persistent link: https://www.econbiz.de/10009241247
Saved in:
12
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
13
Pricing and hedging callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
8
(
2004/2005
)
2
,
pp. 65-117
Persistent link: https://www.econbiz.de/10002597597
Saved in:
14
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
15
Risk-management methods for the Libor market model using semidefinite programming
Aspremont, Alexandre d'
- In:
The journal of computational finance
8
(
2004/2005
)
4
,
pp. 77-99
Persistent link: https://www.econbiz.de/10002990531
Saved in:
16
Computing deltas of callable Libor exotics in forward Libor models
Piterbarg, Vladimir V.
- In:
The journal of computational finance
7
(
2004
)
3
,
pp. 107-144
Persistent link: https://www.econbiz.de/10002060746
Saved in:
17
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
18
Lognormal approximations to Libor market models
Kurbanmuradov, O.
;
Sabelfeld, K.
;
Schoenmakers, John
- In:
The journal of computational finance
6
(
2002
)
1
,
pp. 69-100
Persistent link: https://www.econbiz.de/10001704745
Saved in:
19
LIBOR market models in practice
Sidenius, Jakob
- In:
The journal of computational finance
3
(
2000
)
3
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001517424
Saved in:
20
An investigation of cheapest-to-deliver on treasury bond futures contracts
Benninga, Simon
;
Wiener, Zvi
- In:
The journal of computational finance
2
(
1999
)
3
,
pp. 39-55
Persistent link: https://www.econbiz.de/10001638583
Saved in:
21
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 5-27
Persistent link: https://www.econbiz.de/10001517294
Saved in:
22
Fast greeks by simulation in forward LIBOR models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
The journal of computational finance
3
(
1999
)
1
,
pp. 5-39
Persistent link: https://www.econbiz.de/10001517406
Saved in:
23
Pricing of interest rate contingent claims : implementing a simulation approach
Miltersen, Kristian R.
- In:
The journal of computational finance
1
(
1998
)
3
,
pp. 7-62
Persistent link: https://www.econbiz.de/10001632703
Saved in:
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