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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivat"
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Derivat
Yield curve
111
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111
Theorie
51
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51
Option pricing theory
40
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40
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26
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International journal of theoretical and applied finance
Journal of banking & finance
15
Applied mathematical finance
10
Review of derivatives research
10
Journal of financial economics
9
The journal of fixed income
9
The journal of futures markets
9
The journal of computational finance
8
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7
Journal of financial and quantitative analysis : JFQA
6
International review of financial analysis
5
Journal of empirical finance
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
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5
NBER working paper series
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5
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4
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Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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European journal of operational research : EJOR
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Finance and economics discussion series
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Journal of international financial markets, institutions & money
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Lecture Notes in Economics and Mathematical Systems
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Williams College Economics Department working paper series
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Advances in futures and options research : a research annual
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ECONIS (ZBW)
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1
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
2
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
3
Inflation, central bank and short-term interest rates : A new model with calibration to market data
Antonacci, Flavia
;
Costantini, Cristina
;
D'Ippoliti, …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012887366
Saved in:
4
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
5
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
6
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
7
Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan
;
Wei, Boyu
;
Yang, Hailiang
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
Saved in:
8
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
9
Approximations of bond and swaption prices in a Black-Karasinski model
Daniluk, Andrzej
;
Muchorski, Rafał
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011523750
Saved in:
10
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
11
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Saved in:
12
Consistent parallel and proportional shifts in the term structure of futures prices
Hinnerich, Mia
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403181
Saved in:
13
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
14
Pricing credit derivatives in a Markov-modulated reduced-form model
Banerjee, Tamal
;
Ghosh, Mrinal K.
;
Iyer, Srikanth K.
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-43
Persistent link: https://www.econbiz.de/10009779788
Saved in:
15
Valuing early-exercise interest-rate options with multi-factor affine models
Jaimungal, Sebastian
;
Surkov, Vladimir
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010197181
Saved in:
16
CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten
;
Zabczyk, Jerzy
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
Saved in:
17
Accelerating pathwise Greeks in the LIBOR market model
Joshi, Mark S.
;
Wiguna, Alexander
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10009624523
Saved in:
18
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
19
On the term structure of loss distributions : a forward model approach
Sidenius, Jakob
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 749-761
Persistent link: https://www.econbiz.de/10003503392
Saved in:
20
Defaultable Lévy Libor rates and credit derivatives
Huehne, Florian
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 407-435
Persistent link: https://www.econbiz.de/10003463421
Saved in:
21
Variance term structure and VIX futures pricing
Zhu, Yingzi
;
Zhang, Jin E.
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
Saved in:
22
Implied kernel models
Weigel, Peter
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 575-601
Persistent link: https://www.econbiz.de/10003058621
Saved in:
23
Correlation analysis in the libor and swap market model
De Malherbe, Etienne
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
Saved in:
24
Lognormal-mixture dynamics and calibration to market volatility smiles
Brigo, Damiano
;
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 427-446
Persistent link: https://www.econbiz.de/10001682228
Saved in:
25
A filtering approach to pricing in multifactor term structure models
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
Saved in:
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