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Yield curve
Stochastischer Prozess
19,810
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19,105
Theory
18,750
Optionspreistheorie
15,754
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2,182
Zeitreihenanalyse
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Kreditrisiko
2,061
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2,036
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2,036
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1,823
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Schlögl, Erik
22
Joshi, Mark S.
19
Rudebusch, Glenn D.
18
Chiarella, Carl
16
Filipović, Damir
15
Christensen, Jens H. E.
14
Fabozzi, Frank J.
14
Schoenmakers, John
14
Diebold, Francis X.
13
Sandmann, Klaus
13
Nikitopoulos, Christina Sklibosios
12
Schmidt, Thorsten
12
Almeida, Caio
11
Grbac, Zorana
11
White, Alan
11
Chen, Son-nan
10
Gouriéroux, Christian
10
Platen, Eckhard
10
Rebonato, Riccardo
10
Takahashi, Akihiko
10
Elliott, Robert J.
9
Realdon, Marco
9
Schwartz, Eduardo S.
9
Wilfling, Bernd
9
Culp, Christopher L.
8
Driessen, Joost
8
Eberlein, Ernst
8
Fontana, Claudio
8
Gnoatto, Alessandro
8
Grasselli, Martino
8
Henrard, Marc P. A.
8
Hull, John
8
Jong, Frank de
8
Kim, Don H.
8
Mercurio, Fabio
8
Monfort, Alain
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8
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8
Subrahmanyam, Marti G.
8
Veronesi, Pietro
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
3
Deutsche Forschungsgemeinschaft
2
Ekonomiska forskningsinstitutet <Stockholm>
2
Federal Reserve Bank of St. Louis
2
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
2
Universität Zürich / Institut für Schweizerisches Bankwesen
2
American Finance Association
1
Centre for International Economic Studies
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Econometrisch Instituut <Rotterdam>
1
Economic Policy Conference <31, 2006, Saint Louis, Mo.>
1
Erasmus Research Institute of Management
1
Eric Cuvillier <Firma>
1
European Stability Mechanism
1
Frank J. Fabozzi Associates <New Hope, Pa.>
1
Institut for Finansiering <Frederiksberg>
1
International Center for Financial Asset Management and Engineering
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International Workshop on Finance <2011, Kyōto>
1
Judge Institute of Management Studies
1
Queen Mary College / Department of Economics
1
Salomon Brothers Center for the Study of Financial Institutions
1
Springer Fachmedien Wiesbaden
1
Springer International Publishing
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
Universität Passau / Wirtschaftswissenschaftliche Fakultät
1
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International journal of theoretical and applied finance
70
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Journal of banking & finance
37
Finance and stochastics
36
Applied mathematical finance
31
Quantitative finance
28
The journal of computational finance
28
The journal of fixed income
24
Review of derivatives research
23
The journal of futures markets
23
The journal of derivatives : the official publication of the International Association of Financial Engineers
22
Risks : open access journal
21
Journal of mathematical finance
19
Journal of financial economics
18
The review of financial studies
18
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
17
The European journal of finance
16
International journal of financial engineering
15
NBER Working Paper
14
NBER working paper series
14
Insurance
13
Journal of empirical finance
13
Journal of economic dynamics & control
12
European journal of operational research : EJOR
11
Finance research letters
11
Journal of financial and quantitative analysis : JFQA
11
The journal of finance : the journal of the American Finance Association
11
Working paper / National Bureau of Economic Research, Inc.
11
Mathematical finance : an international journal of mathematics, statistics and financial economics
10
SpringerLink / Bücher
10
Applied financial economics
9
Asia-Pacific financial markets
9
Economic modelling
9
Journal of econometrics
9
Journal of money, credit and banking : JMCB
9
Lecture notes in economics and mathematical systems : LNEMS
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Research paper series / Swiss Finance Institute
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Annals of finance
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ECONIS (ZBW)
1,883
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1
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
2
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
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
Arbitrage-free XVA
Bichuch, Maxim
;
Capponi, Agostino
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 582-620
Persistent link: https://www.econbiz.de/10011969094
Saved in:
5
An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives
Chen, Rui
-
2014
We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...
Persistent link: https://www.econbiz.de/10013045728
Saved in:
6
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:
7
A Libor market model with default risk
Schönbucher, Philipp J.
-
2001
Persistent link: https://www.econbiz.de/10001598736
Saved in:
8
Quantitative modeling of
derivative
securities : from theory to practice
Avellaneda, Marco
-
2000
Persistent link: https://www.econbiz.de/10001403079
Saved in:
9
Credit risk modelling and credit derivatives
Schönbucher, Philipp J.
-
2000
Persistent link: https://www.econbiz.de/10001449548
Saved in:
10
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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