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  • Search: subject_exact:"Zinsswap"
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Year of publication
Subjects
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Interest rate derivative 1,117 Zinsderivat 1,117 Theorie 495 Theory 490 Zinsstruktur 298 USA 297 United States 293 Yield curve 293 Optionspreistheorie 182 Option pricing theory 181 Derivat 139 Derivative 139 Volatilität 135 Volatility 132 Public bond 124 Öffentliche Anleihe 124 Deutschland 123 Schätzung 123 Estimation 119 Hedging 119 Germany 116 CAPM 86 Zins 73 Interest rate 68 Börsenkurs 57 Share price 56 Currency derivative 55 Währungsderivat 55 Swap 53 Großbritannien 50 United Kingdom 50 Zinsswap 49 Zinsrisiko 48 Interest rate risk 47 Government securities 46 Staatspapier 46 Anleihe 43 EU-Staaten 43 Kreditrisiko 43 Bond 42
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Online availability
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Free 134 Undetermined 4
Type of publication
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Article 716 Book / Working Paper 447
Type of publication (narrower categories)
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Article in journal 641 Aufsatz in Zeitschriften 641 Graue Literatur 275 Non-commercial literature 275 Working Paper 219 Arbeitspapier 208 Dissertation 90 Thesis 90 Article in book 65 Aufsatz im Buch 65 Hochschulschrift 55 Bibliographie enthalten 31 Bibliography included 31 Collection of articles written by one author 16 Sammlung 16 Collection of articles of several authors 13 Sammelwerk 13 Dissertation u.a. Prüfungsschriften 10 Lehrbuch 9 Forschungsbericht 4 Amtsdruckschrift 3 Government document 3 Congress report 2 Glossar enthalten 2 Glossary included 2 Handbook 2 Handbuch 2 Kongress 2 Kongressschrift 2 Reprint 2 Bibliographie 1 Commentary 1 Diskette 1 Einführung 1 Kommentar 1 Konferenzschrift 1 Mehrbändiges Werk 1 Mikroform 1 Multi-volume publication 1 Nachschlagewerk 1
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Language
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English 950 German 161 Italian 14 French 13 Spanish 13 Undetermined 9 Polish 2 Portuguese 2 Dutch 1 Norwegian 1
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Persons
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Hess, Dieter 16 Hautsch, Nikolaus 14 Herwartz, Helmut 12 Chiarella, Carl 11 Pelsser, Antoon André Jean 11 Subrahmanyam, Marti G. 10 Bhar, Ramaprasad 9 Björk, Tomas 9 Gay, Gerald D. 8 Kolb, Robert W. 8 Sandmann, Klaus 8 Schoenmakers, John 8 Söderlind, Paul 8 Upper, Christian 8 Werner, Thomas 8 Gerhard, Frank 7 Ito, Takayasu 7 Malhotra, Davinder Kumar 7 Mercurio, Fabio 7 Miltersen, Kristian R. 7 Moraleda Novo, Juan Manuel 7 Ritchken, Peter H. 7 Blaskowitz, Oliver 6 Broll, Udo 6 Chen, Ren-Raw 6 Christiansen, Charlotte 6 Fang, Victor 6 Hegde, Shantaram P. 6 Jamshidian, Farshid 6 Jarrow, Robert A. 6 Kambhu, John 6 Moessner, Richhild 6 Scaillet, Olivier 6 Arak, Marcelle V. 5 Bianchetti, Marco 5 Blaskowitz, Oliver J. 5 Eisele, Florian 5 Fornari, Fabio 5 Gupta, Anurag 5 Hull, John 5
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Institutions
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Centre for Analytical Finance <Århus> 3 Manchester Business School 3 Weierstraß-Institut für Angewandte Analysis und Stochastik 3 Deutsche Terminbörse <Frankfurt, Main> 2 Ekonomiska forskningsinstitutet <Stockholm> 2 London International Financial Futures Exchange 2 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 2 Asia Pacific Futures Research Symposium <13, 2003, Schanghai> 1 Associazione Operatori Bancari in Titoli 1 Chambre de commerce et d'industrie de Paris 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Danmarks Nationalbank 1 Eric Cuvillier <Firma> 1 Federal Reserve Bank of New York 1 Federal Reserve Bank of St. Louis 1 Federal Reserve System / Financial Studies Section 1 Frankfurt School of Finance & Management 1 Frankfurt School of Finance and Management 1 Hanns Seidel Stiftung 1 Institut für Ausländisches und Internationales Finanz- und Steuerwesen <Hamburg> 1 Institut für Bankwirtschaft und Bankrecht an der Universität zu Köln / Abteilung Bankwirtschaft 1 Institut für Kreditwesen 1 Institut für Revisionswesen <Münster (Westf)> 1 Institut für Schweizerisches Bankwesen <Zürich> 1 Institute of Chartered Financial Analysts / Research Foundation 1 Institute of Finance and Accounting <London> 1 International Center for Financial Asset Management and Engineering 1 International Conference on Derivatives and Risk Management <2003, Schanghai> 1 Keizai-Sangyō-Kenkyūsho <Tokio> 1 Marché à Terme d'Instruments Financiers <Paris> 1 Melbourne Institute of Applied Economic and Social Research 1 Schleswig-Holstein / Landesrechnungshof 1 Svenska Handelshögskolan <Helsinki> 1 The Wharton Financial Institutions Center 1 University of Chicago / Center for Research in Security Prices 1 University of Melbourne / Faculty of Business and Economics 1 University of Sydney / Department of Economics 1 Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen 1 École des Hautes Études Commerciales <Lausanne> 1 Österreichische Nationalbank 1
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Published in...
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The journal of futures markets 122 Advances in futures and options research : a research annual 28 The journal of fixed income 22 Review of futures markets 18 The journal of derivatives : the official publication of the International Association of Financial Engineers 18 International journal of theoretical and applied finance 17 Discussion paper 14 Journal of banking & finance 14 The journal of finance : the journal of the American Finance Association 14 Finance and stochastics 13 The review of financial studies 13 Interest rate modelling after the financial crisis 11 Journal of international financial markets, institutions & money 11 Mathematical finance : an international journal of mathematics, statistics and financial theory 11 Applied mathematical finance 10 Journal of financial and quantitative analysis : JFQA 10 SFB 649 discussion paper 10 The journal of computational finance 10 Applied financial economics 9 Journal of financial economics 9 International review of financial analysis 8 Report / Erasmus Center for Financial Research, Erasmus University 8 Review of derivatives research 8 Finance : revue de l'Association Française de Finance 7 Gabler Edition Wissenschaft 7 Working paper 7 Die Bank : Zeitschrift für Bankpolitik und Praxis 6 Discussion paper series 6 Europäische Hochschulschriften 6 Global finance journal 6 SSE EFI working paper series in economics and finance 6 Working paper / Department of Finance, Faculty of Business Administration, the Aarhus School of Business 6 Advances in Pacific Basin financial markets 5 CoFE discussion papers 5 Discussion paper / Centre for Economic Policy Research 5 International review of economics & finance : IREF 5 Journal of international money and finance 5 The European journal of finance 5 The journal of business : B 5 The journal of financial research 5
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Sources
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ECONIS (ZBW) 1,123 USB Cologne (EcoSocSci) 18 EconStor 11 USB Cologne (business full texts) 8 RePEc 2 ArchiDok 1
Showing 1 - 50 of 1,163
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Central bank swap lines and CIP deviations
Allen, William; Galati, Gabriele; Moessner, Richhild; … - 2017
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Using a normal jump-diffusion model for interest variation in a low-rate and high-volatility environment
Huotari, Antti - 2016
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Understanding interest rate volatibility
Volker, Desi - 2016 - 1. edition
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
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Stationarity and persistence of the term premia in the Polish money market
Markun, Michał; Mospan, Anna - 2015
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Factors impacting the interest rate derivatives usage in Indian commercial banks
Kumar, Dilip - In: Theoretical economics letters 7 (2017) 3, pp. 596-614
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Term structure and volatility modelling
Kienitz, Jörg; Caspers, Peter - 2017
"The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity...
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - In: The journal of finance : the journal of the American … 72 (2017) 2, pp. 655-704
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Interest rate swap credit valuation adjustment
Černý, Jakub; Witzany, Jiří - 2014
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of...
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Benchmark tipping in the global bond market
Kreicher, Lawrence; McCauley, Robert N.; Wooldridge, Philip - 2014
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
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The effect of the zero lower bound, forward guidance and unconventional monetary policy on interest rate sensitivity to economic news in Sweden
Moessner, Richhild; Haan, Jakob de; Jansen, David-Jan - 2014
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Firm value and risk management in credit agreements
Marami, Ali - 2014
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Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
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The XVA of financial derivatives: CVA, DVA and FVA explained
Lu, Dongsheng - 2016
Introduction -- Introduction to derivatives trading -- Introduction to derivative trading -- Legal and operations of derivative trading -- Cva primer and credit default -- FVA primer : derivatives pricing with funding -- Other valuation adjustments -- Modeling, calculation and system...
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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
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Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19
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Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe; Reutenauer, Victor; Talay, Denis; … - In: Applied mathematical finance 23 (2016) 1/2, pp. 57-79
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Foreign Central Bank activities in US futures markets
Fishe, Raymond P. H.; Robe, Michel A.; Smith, Aaron D. - In: The journal of futures markets 36 (2016) 1, pp. 3-29
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The sensitivity of interest rate options to monetary policy decisions : a regime-shift pricing approach
Ferland, René; Gauthier, Geneviève; Lalancette, Simon - In: The journal of futures markets 36 (2016) 1, pp. 66-87
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Analyzing hedging strategies for fixed income portfolios : a Bayesian approach for model selection
Bessler, Wolfgang; Leonhardt, Alexander; Wolff, Dominik - In: International review of financial analysis 46 (2016), pp. 239-256
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Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre - In: Journal of mathematical finance 6 (2016) 3, pp. 401-415
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Volatility spillovers across the swap markets : evidence from US, Australian, and Japanese swap markets
Bhargava, Vivek; Malhotra, Davinder Kumar; Tsetsekos, … - In: International journal of bonds and derivatives 2 (2016) 1, pp. 59-86
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Spillovers of international interest rate swap markets and stock market volatility
Lee, Hsiu-Chuan; Hsu, Chih-Hsiang; Chien, Cheng-Yi - In: Managerial finance 42 (2016) 10, pp. 943-962
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Interest rate : futures and cash market spill-over's in India
Sahoo, Hruda Ranjan; Panda, Pradiptarathi - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 118-128
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Interest rate futures and market structure in India
Korivi, Sunder Ram; James, Elizabeth - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 129-137
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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
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The reaction of the Japanese REIT market to stock prices and interest rates : a comparison of the periods before and after Abenomics
Ito, Takayasu - In: International journal of monetary economics and finance 9 (2016) 4, pp. 319-329
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Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset
Kocsis, Zalán (contributor); Csávás, Csaba (contributor);  … - 2013
MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...
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Interest rate swaps and corporate default
Jermann, Urban J.; Yue, Vivian Z. - 2013
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Effects of explicit FOMC policy rate guidance on market interest rates
Moessner, Richhild - 2013
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Dynamics of interest rate swap and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - 2013
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Fixing the fixings : what road to a more representative money market benchmark?
Brousseau, Vincent; Chailloux, A.; Durré, Alain - 2013
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Interest rate swaps and corporate default
Jermann, Urban J.; Yue, Vivian Z. - 2013
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Market timing, maturity mismatch, and risk management : evidence from the banking industry ; conference paper
Ruprecht, Benedikt (contributor); Entrop, Oliver (contributor) - 2013
We investigate financial intermediaries interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. Hausman exogeneity tests indicate that both decisions are...
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt (contributor); Entrop, Oliver (contributor) - 2013
We investigate financial intermediaries’ interest rate risk management as the simultaneous decision of on-balance-sheet exposure and interest rate swap use. Our findings show that both decisions are substitute risk management strategies. A higher likelihood of bank distress makes banks reduce...
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Interest rate swaps and corporate default
Jermann, Urban J.; Yue, Vivian Z. - 2013
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Effects of explicit FOMC policy rate guidance on equities and risk measures
Moessner, Richhild - 2013
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Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo; Chiarella, Carl; Kang, Boda - 2012
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Credit line use and availability in the financial crisis : the importance of hedging
Berróspide, José M.; Meisenzahl, Ralf R.; Sullivan, … - 2012
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Non-parametric pricing of interest rates options
Mauad, Roberto Baltieri; Laurini, Márcio Poletti - In: Brazilian review of econometrics : BRE : the review of … 32 (2012) 2, pp. 201-240
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A pricing kernel approach to valuing options on interest rate futures
Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110
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What determines the yen swap spread?
Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13
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Volatility risk premium in the interest rate market : evidence from delta-hedged gains on USD interest rate swaps
Byun, Suk Joon; Chang, Ki Cheon - In: International review of financial analysis 40 (2015), pp. 88-102
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International swap market contagion and volatility
Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor; … - In: Economic modelling 47 (2015), pp. 355-371
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/15) 4, pp. 129-161
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Formelsammlung Aktien-, Zins- und Währungsderivate
Kruse, Susanne - 2015
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Analyse des kommunalen Zins- und Schuldenmanagements unter besonderer Berücksichtigung von Zinsderivaten
Breitweg, Nino - 2015 - 1. Aufl
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Pricing interest rate derivatives with model risk
Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18
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