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~isPartOf:"International journal of theoretical and applied finance"
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The CARMA interest rate model
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Option pricing theory
480
Optionspreistheorie
480
Stochastic process
268
Stochastischer Prozess
268
Volatility
254
Volatilität
254
Theorie
200
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200
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136
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130
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option pricing
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640
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Levendorskij, Sergej Z.
11
Benth, Fred Espen
9
Elliott, Robert J.
8
Kwok, Yue-Kuen
8
Rebonato, Riccardo
8
Brigo, Damiano
7
Fabozzi, Frank J.
7
Jeanblanc, Monique
7
Takahashi, Akihiko
7
Gapeev, Pavel V.
6
Avellaneda, Marco
5
Bojarčenko, Svetlana I.
5
Chiarella, Carl
5
Hui, Cho H.
5
Joshi, Mark S.
5
Lo, C. F.
5
Oosterlee, Cornelis W.
5
Rutkowski, Marek
5
Schoutens, Wim
5
Siu, Tak Kuen
5
Arai, Takuji
4
Bouchaud, Jean-Philippe
4
Ehrhardt, Matthias
4
Ekström, Erik
4
Hess, Markus
4
Hughston, Lane P.
4
Liu, Rui Hua
4
Macrina, Andrea
4
Pallavicini, Andrea
4
Račev, Svetlozar T.
4
Schmidt, Thorsten
4
Wu, Lixin
4
Almeida, Caio
3
Bernard, Carole
3
Biagini, Francesca
3
Bielecki, Tomasz R.
3
Boyarchenko, Mitya
3
Brody, Dorje C.
3
Capriotti, Luca
3
Cui, Zhenyu
3
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Barcelona Workshop on Mathematical Finance <2017, Barcelona>
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International journal of theoretical and applied finance
Finance research letters
940
NBER working paper series
922
Energy economics
819
Working paper / National Bureau of Economic Research, Inc.
796
Journal of banking & finance
788
NBER Working Paper
765
The journal of futures markets
716
International review of financial analysis
564
International review of economics & finance : IREF
563
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556
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488
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486
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441
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427
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424
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408
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404
Journal of financial economics
398
Journal of international money and finance
392
Applied economics letters
376
Applied financial economics
375
Journal of empirical finance
373
Research in international business and finance
360
Journal of international financial markets, institutions & money
348
Quantitative finance
345
Journal of economic dynamics & control
340
Mathematical finance : an international journal of mathematics, statistics and financial theory
334
Applied mathematical finance
325
Finance and stochastics
309
IMF working papers
305
The journal of derivatives : the official publication of the International Association of Financial Engineers
288
The European journal of finance
285
The journal of computational finance
281
Journal of risk and financial management : JRFM
279
Discussion paper / Tinbergen Institute
272
The review of financial studies
268
CESifo working papers
266
The journal of finance : the journal of the American Finance Association
262
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
254
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ECONIS (ZBW)
642
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1
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:
2
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:
3
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:
4
Efficient long-dated swaption
volatility
approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
5
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
6
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
7
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:
8
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:
9
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic
volatility
Russo, Emilio
;
Staino, Alessandro
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
Saved in:
10
The term structure of implied
volatility
in symmetric models with applications to Heston
De Marco, Stefano
;
Martini, Claude
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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