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The CARMA interest rate model
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Optionsgeschäft
Volatility
43,683
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43,423
Theorie
22,131
Theory
21,696
Zinsstruktur
15,691
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15,605
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11,057
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9,060
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9,023
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8,102
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7,826
USA
7,558
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7,511
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7,435
United States
7,336
Welt
7,005
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6,900
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6,237
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6,119
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6,051
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Exchange rate
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Prognoseverfahren
5,418
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5,340
Risk
4,763
Risiko
4,729
Option trading
4,659
Derivat
4,491
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4,480
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4,325
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Cui, Zhenyu
35
Hull, John
31
Madan, Dilip B.
29
Wang, Xingchun
27
Ryu, Doojin
23
Lee, Hangsuck
22
Stentoft, Lars
22
Zhang, Jin E.
22
Carr, Peter
21
Fusai, Gianluca
20
Todorov, Viktor
19
Fabozzi, Frank J.
18
Joshi, Mark S.
18
Kwok, Yue-Kuen
18
Schoutens, Wim
18
Jacobs, Kris
17
Fusari, Nicola
16
Li, Lingfei
16
Zhu, Song-Ping
16
Andersen, Torben
15
Chiarella, Carl
15
Ewald, Christian-Oliver
15
Fodor, Andy
14
He, Xin-Jiang
14
Levendorskii, Sergei
14
Orosi, Greg
14
Perrakis, Stylianos
14
Takahashi, Akihiko
14
Alexander, Carol
13
Giglio, Stefano
13
Lee, Cheng F.
13
Alghalith, Moawia
12
Guirguis, Michel
12
Härdle, Wolfgang
12
Kelly, Bryan T.
12
Kirkby, Justin
12
Prokopczuk, Marcel
12
Ruan, Xinfeng
12
Wang, King
12
Bayraktar, Erhan
11
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Christian-Albrechts-Universität zu Kiel
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2
Institut for Finansiering <Frederiksberg>
2
International Centre for Trade and Sustainable Development
2
Pearson Studium
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Svenska Handelshögskolan <Helsinki>
2
Weltwirtschaftsforum
2
Australian National University / Faculty of Economics and Commerce
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Banco Central do Brasil
1
Berliner Wissenschafts-Verlag
1
Birkbeck College / Department of Economics
1
Business Information Centre <Toronto>
1
Center for International Food and Agricultural Policy
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Centre for Actuarial Studies
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Chambre de commerce et d'industrie de Paris
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City University
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Eberhard Karls Universität Tübingen
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Energy, Mines and Resources, Canada
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Erasmus Research Institute of Management
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European Stability Mechanism
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Expert Meeting on Crisis and Development in Latin America and the Caribbean, Santiago, Chile, 29.4.-3.5.1985
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International Association of Energy Economists
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Investors Intelligence
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Johannes Gutenberg-Universität Mainz
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Judge Institute of Management Studies
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OECD
1
Salomon Brothers Center for the Study of Financial Institutions
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Senter for Anvendt Forskning <Oslo; Bergen, Norwegen>
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
1
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The journal of futures markets
135
International journal of theoretical and applied finance
130
Journal of banking & finance
89
Quantitative finance
88
Applied mathematical finance
82
The journal of computational finance
79
Review of derivatives research
73
The journal of derivatives : the official publication of the International Association of Financial Engineers
71
Finance research letters
70
The North American journal of economics and finance : a journal of financial economics studies
52
Computational economics
51
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
Finance and stochastics
47
International journal of financial engineering
45
Journal of economic dynamics & control
45
Journal of mathematical finance
41
European journal of operational research : EJOR
40
Journal of financial economics
37
International review of economics & finance : IREF
33
Risks : open access journal
32
Review of quantitative finance and accounting
29
The journal of derivatives : JOD
29
Insurance / Mathematics & economics
27
The European journal of finance
26
Management science : journal of the Institute for Operations Research and the Management Sciences
25
Research paper series / Swiss Finance Institute
25
Economic modelling
24
International review of financial analysis
24
Journal of financial markets
23
Applied economics letters
22
Applied economics
21
Asia-Pacific financial markets
21
Journal of econometrics
21
Journal of risk and financial management : JRFM
21
NBER working paper series
21
Energy economics
19
Journal of empirical finance
18
Operations research letters
18
Annals of finance
17
NBER Working Paper
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ECONIS (ZBW)
4,667
EconStor
10
USB Cologne (EcoSocSci)
3
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1
Riding the swaption curve
Duyvesteyn, Johan
;
Zwart, Gerben Jacobus de
- In:
Journal of banking & finance
59
(
2015
),
pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
Saved in:
2
Options on bonds : implied volatilities from affine short-rate dynamics
Lorig, Matthew
;
Suaysom, Natchanon
- In:
Annals of finance
18
(
2022
)
2
,
pp. 183-216
Persistent link: https://www.econbiz.de/10013278980
Saved in:
3
Information content and market liquidity in the fixed income market : evidence from the swaption market
Hattori, Takahiro
- In:
Finance research letters
45
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014574914
Saved in:
4
A generalized option valuation model for the pricing of
bond
options
Bookstaber, Richard M.
;
McDonald, James B.
- In:
Geschäftsbericht / Schluchseewerk Aktiengesellschaft …
4
(
1985
)
1
,
pp. 60-73
Persistent link: https://www.econbiz.de/10001935996
Saved in:
5
Numerical Solutions of PIDEs for the Prices of
Bond
Options, Swaps, Caps and Floors for Levy-Based Stochastic Interest Rate Models
Malyarenko, Anatoliy
-
2010
In this paper, we show numerically how to calculate the price of
bond
options, swaps, caps and floors for Levy one …
Persistent link: https://www.econbiz.de/10013144189
Saved in:
6
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
7
Evaluating callable and putable bonds : an eigenfunction expansion approach
Lim, Dongjae
;
Li, Lingfei
;
Linetsky, Vadim
- In:
Journal of economic dynamics & control
36
(
2012
)
12
,
pp. 1888-1908
Persistent link: https://www.econbiz.de/10009701917
Saved in:
8
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
9
Pricing coupon
bond
options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
10
Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk
Poncet, Patrice
;
Portait, Roland
;
Toder, Igor
-
2022
Persistent link: https://www.econbiz.de/10012628654
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