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Interest rate derivative
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The journal of fixed income
Finance and stochastics
The journal of futures markets
137
International journal of theoretical and applied finance
33
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
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
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Journal of international financial markets, institutions & money
15
The review of financial studies
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Applied financial economics
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Europäische Hochschulschriften / 5
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Journal of financial economics
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Review of derivatives research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
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International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
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Working paper
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
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NBER working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
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Discussion paper / B
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Economics letters
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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Applied economics
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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Journal of economic dynamics & control
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Journal of mathematical finance
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Quantitative finance
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SFB 649 discussion paper
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ECONIS (ZBW)
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1
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
2
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
3
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
Saved in:
4
The predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
5
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
6
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
7
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
8
Embedded options in treasury bond futures prices : new evidence
Chen, Ren-Raw
;
Ju, Hann-shing
;
Yeh, Shih-kuo
- In:
The journal of fixed income
19
(
2009/10
)
1
,
pp. 82-95
Persistent link: https://www.econbiz.de/10003875982
Saved in:
9
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
10
Dynamic spillover of money market turmoil from FX swap to cross-currency swap markets : evidence from the 2007 - 2008 turmoil
Baba, Naohiko
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 24-38
Persistent link: https://www.econbiz.de/10003848031
Saved in:
11
Managing interest rate volatility risk : key rate vega
Ho, Thomas S. Y.
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 6-17
Persistent link: https://www.econbiz.de/10003687329
Saved in:
12
Generalized Ho-Lee model : a multi-factor state-time dependent implied volatility function approach
Ho, Thomas S. Y.
;
Yi, Sang-bin
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 18-37
Persistent link: https://www.econbiz.de/10003687350
Saved in:
13
Correlated default modeling with a forest of binomial trees
Bandreddi, Santhosh
;
Das, Sanjiv R.
;
Fan, Rong
- In:
The journal of fixed income
17
(
2007
)
3
,
pp. 38-56
Persistent link: https://www.econbiz.de/10003687357
Saved in:
14
Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
Saved in:
15
The Lévy LIBOR model
Eberlein, Ernst
;
Özkan, Fehmi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
Saved in:
16
Links among interest rate swap markets : US, UK, and Japan
In, Francis Haeuck
;
Brown, Rob
;
Fang, Victor
- In:
The journal of fixed income
13
(
2003
)
3
,
pp. 84-95
Persistent link: https://www.econbiz.de/10001968467
Saved in:
17
On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas
;
Landén, Camilla
- In:
Finance and stochastics
6
(
2002
)
3
,
pp. 303-331
Persistent link: https://www.econbiz.de/10001680671
Saved in:
18
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
Saved in:
19
Modeling the determinants of swap spreads
Brown, Rob
;
In, Francis Haeuck
;
Fang, Victor
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 29-40
Persistent link: https://www.econbiz.de/10001725696
Saved in:
20
Swaps as a synthetic asset class
Belton, Terrence M.
;
Wadhwa, Pavan
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001763886
Saved in:
21
The cost of tax policy uncertainty : evidence from the municipal swap market
Brooks, Robert
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 71-87
Persistent link: https://www.econbiz.de/10001763891
Saved in:
22
The Lehman brothers swap indexes
Dynkin, Lev
;
Greenfield, Yuri
;
Joneja, Dev
- In:
The journal of fixed income
12
(
2002
)
2
,
pp. 28-42
Persistent link: https://www.econbiz.de/10001745237
Saved in:
23
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
Saved in:
24
Markov-functional interest rate models
Hunt, Phil J.
;
Kennedy, Joanne
;
Pelsser, Antoon André Jean
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 391-408
Persistent link: https://www.econbiz.de/10001538325
Saved in:
25
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
Saved in:
26
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
27
Interbank interest rates and the risk premium
Pagès, Henri
- In:
The journal of fixed income
9
(
2000
)
4
,
pp. 75-95
Persistent link: https://www.econbiz.de/10001495253
Saved in:
28
Minimal realizations of interest rate models
Björk, Tomas
;
Gombani, Andrea
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
Saved in:
29
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
Saved in:
30
Duration-based hedging with Treasury bond futures
Rendleman, Richard J.
- In:
The journal of fixed income
9
(
1999
)
1
,
pp. 84-91
Persistent link: https://www.econbiz.de/10001432382
Saved in:
31
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:
32
The influence of electronic trading on bid-ask spreads : new evidence from European bond futures
Ap Gwilym, Owain
- In:
The journal of fixed income
8
(
1998
)
1
,
pp. 7-19
Persistent link: https://www.econbiz.de/10001246662
Saved in:
33
Path dependent options on yields in the affine term structure model
Leblanc, Boris
- In:
Finance and stochastics
2
(
1998
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
Saved in:
34
Volatility of the short rate in the rational lognormal model
Goldberg, Lisa
- In:
Finance and stochastics
2
(
1998
)
2
,
pp. 199-211
Persistent link: https://www.econbiz.de/10001235405
Saved in:
35
A note on pricing interest rate derivatives when forward LIBOR rates are lognormal
Goldys, Beniamin
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 345-352
Persistent link: https://www.econbiz.de/10001226609
Saved in:
36
LIBOR and swap market models and measures
Jamshidian, Farshid
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 293-330
Persistent link: https://www.econbiz.de/10001226611
Saved in:
37
Continuous-time term structure models : forward measure approach
Musiela, Marek
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
Saved in:
38
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:
39
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:
40
The Ho-Lee binomial stochastic process and duration
Bierwag, Gerald O.
- In:
The journal of fixed income
6
(
1996
)
2
,
pp. 76-87
Persistent link: https://www.econbiz.de/10001208580
Saved in:
41
The intraday behavior of European bond futures
Ap Gwilym, Owain
(
contributor
)
- In:
The journal of fixed income
6
(
1996
)
2
,
pp. 49-66
Persistent link: https://www.econbiz.de/10001208584
Saved in:
42
Valuation of options on Eurodollar futures
Han, H. G.
- In:
The journal of fixed income
1
(
1991
)
3
,
pp. 60-73
Persistent link: https://www.econbiz.de/10001117908
Saved in:
43
A delivery option model for treasury bond futures
Koenigsberg, Mark
- In:
The journal of fixed income
1
(
1991
)
1
,
pp. 75-88
Persistent link: https://www.econbiz.de/10001109848
Saved in:
44
Forward induction and construction of yield curve diffusion models
Jamshidian, Farshid
- In:
The journal of fixed income
1
(
1991
)
1
,
pp. 62-74
Persistent link: https://www.econbiz.de/10001109849
Saved in:
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