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~subject:"Zinsstruktur"
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Zinsstruktur
Theorie
68
Theory
61
Schätztheorie
41
Estimation theory
38
Optionspreistheorie
35
Option pricing theory
33
Stochastic process
24
Stochastischer Prozess
24
Zeitreihenanalyse
24
Monte Carlo simulation
22
Monte-Carlo-Simulation
21
Time series analysis
21
Volatility
18
Volatilität
16
Yield curve
16
Interest rate derivative
15
Zinsderivat
15
Regressionsanalyse
13
Regression analysis
12
Nichtparametrisches Verfahren
11
Search theory
11
Suchtheorie
11
Black-Scholes-Modell
10
Nonparametric statistics
10
Value at Risk
10
Value-at-Risk
10
business cycle
9
copula
9
stochastic volatility
9
Black-Scholes model
8
Martingale
8
dimension reduction
8
ARCH-Modell
7
Bootstrap
7
Cointegration
7
Identification
7
Martingal
7
Weather derivatives
7
high-frequency data
7
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Free
5
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9
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7
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7
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Graue Literatur
6
Non-commercial literature
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5
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5
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3
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English
16
Author
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Schoenmakers, John
16
Belomestny, Denis
5
Kolodko, Anastasia
4
Kurbanmuradov, O.
2
Papapantoleon, Antonis
2
Reiß, Oliver
2
Sabelfeld, K.
2
Schweizer, Martin
2
Skovmand, David
2
Coffey, Brian
1
Ladkau, Marcel
1
Matthew, Stanley
1
Zhang, Jianing
1
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Weierstraß-Institut für Angewandte Analysis und Stochastik
3
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
International journal of theoretical and applied finance
2
SFB 649 discussion paper
2
The journal of computational finance
2
CREATES research paper
1
Finance and stochastics
1
International Journal of Portfolio Analysis and Management
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Journal of economic dynamics & control
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ECONIS (ZBW)
16
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1
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John
-
2002
Persistent link: https://www.econbiz.de/10001724376
Saved in:
2
Endogenous interest rate dynamics in asset markets
Reiß, Oliver
(
contributor
);
Schoenmakers, John
(
contributor
)
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001593794
Saved in:
3
Systematic generation of parametric correlation structures for the LIBOR market model
Schoenmakers, John
;
Coffey, Brian
- In:
International journal of theoretical and applied finance
6
(
2003
)
5
,
pp. 507-519
Persistent link: https://www.econbiz.de/10001787582
Saved in:
4
Calibration of LIBOR models to caps and swaptions : a way around intrinsic instabilities via parsimonious structures and a collateral market criterion
Schoenmakers, John
-
Weierstraß-Institut für Angewandte Analysis und Stochastik
-
2002
Persistent link: https://www.econbiz.de/10015209239
Saved in:
5
Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
-
2011
Persistent link: https://www.econbiz.de/10009152332
Saved in:
6
Libor model with expiry-wise stochastic volatility and displacement
Ladkau, Marcel
;
Schoenmakers, John
;
Zhang, Jianing
- In:
International Journal of Portfolio Analysis and Management
1
(
2013
)
3
,
pp. 224-249
Persistent link: https://www.econbiz.de/10010190489
Saved in:
7
Pricing CMS spread options in a Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Saved in:
8
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
Saved in:
9
A jump-diffusion Libor model and its robust calibration
Belomestny, Denis
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003324469
Saved in:
10
Pricing CMS spreads in the Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
-
2008
Persistent link: https://www.econbiz.de/10003809706
Saved in:
1
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