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isPartOf:"Advances in futures and options research : a research annual"
~isPartOf:"International journal of financial engineering"
~subject:"Finanzmathematik"
~subject:"Optionspreistheorie"
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Finanzmathematik
Optionspreistheorie
Interest rate derivative
37
Zinsderivat
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Theorie
17
Theory
17
USA
15
United States
15
Option pricing theory
14
Yield curve
14
Zinsstruktur
14
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12
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11
Öffentliche Anleihe
11
Hedging
5
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4
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LIBOR market model
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Derivat
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Derivative
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Interest rate
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Zins
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1982-1985
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Mi, Yanhui
2
Tian, Yisong Sam
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Zhong, Yangfan
2
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1
Carayannopoulos, Peter
1
Elliott, Robert J.
1
Fuji, Masaaki
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Giribone, Pier Giuseppe
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Goldman, D.
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Heath, D.
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Jain, Shashi
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Karlsson, Patrik
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Kentwell, Glenn
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Ligato, Simone
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Mulas, Martina
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Munnik, Jeroen F. de
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Nielsen, Soren S.
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Oosterlee, Cornelis Willebrordus
1
Ostrovski, Vladimir
1
Pan, Jian
1
Platen, Eckhard
1
Ronn, Ehud I.
1
Takahashi, Akihiko
1
Wu, Ping
1
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Advances in futures and options research : a research annual
International journal of financial engineering
The journal of computational finance
18
International journal of theoretical and applied finance
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
12
Review of derivatives research
10
Applied mathematical finance
9
Finance and stochastics
9
Journal of banking & finance
6
Mathematical finance : an international journal of mathematics, statistics and financial theory
6
Gabler Edition Wissenschaft
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Quantitative finance
5
The journal of futures markets
5
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Risks : open access journal
4
Série de trabalhos para discussão
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Global finance journal
3
Journal of financial economics
3
SSE EFI working paper series in economics and finance
3
The journal of finance : the journal of the American Finance Association
3
The journal of fixed income
3
The review of financial studies
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Berichte des Fraunhofer ITWM
2
Bonn Econ Discussion Papers / BGSE
2
Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
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Discussion paper / B
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Discussion paper / Centre for Economic Policy Research
2
Economic modelling
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Europäische Hochschulschriften / 5
2
Finance research letters
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Financial markets and portfolio management
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Interest rate, term structure, and valuation modeling
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International Journal of Financial Markets and Derivatives : IJFMD
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1
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:
2
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
3
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
4
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
5
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
6
Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
Saved in:
7
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
8
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
9
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
Persistent link: https://www.econbiz.de/10011532755
Saved in:
10
The valuation of default risk in corporate bonds and interest rate swaps
Nielsen, Soren S.
- In:
Advances in futures and options research : a research annual
9
(
1997
),
pp. 175-196
Persistent link: https://www.econbiz.de/10001226756
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