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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Applied mathematical finance"
~isPartOf:"The journal of fixed income"
~subject:"Interest rate derivative"
~subject:"Prognoseverfahren"
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Interest rate derivative
Prognoseverfahren
Yield curve
223
Zinsstruktur
223
Theorie
107
Theory
107
USA
52
United States
52
Option pricing theory
38
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Ho, Thomas S. Y.
2
Andersen, Leif B. G.
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Andreasen, Jesper Fredborg
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Bali, Turan
1
Bandreddi, Santhosh
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Applied mathematical finance
The journal of fixed income
International journal of theoretical and applied finance
29
Journal of forecasting
24
International journal of forecasting
21
The journal of futures markets
20
Economics letters
18
Journal of empirical finance
17
Journal of banking & finance
16
NBER working paper series
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Journal of financial economics
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Journal of international money and finance
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The journal of computational finance
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International journal of financial engineering
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Journal of money, credit and banking : JMCB
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The North American journal of economics and finance : a journal of financial economics studies
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
3
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
4
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
5
The variance risk premium : components, term structures, and stock return predictability
Li, Junye
;
Zinna, Gabriele
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 411-425
Persistent link: https://www.econbiz.de/10012249166
Saved in:
6
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
7
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
8
Unspanned macroeconomic factors in the yield curve
Coroneo, Laura
;
Giannone, Domenico
;
Modugno, Michele
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
3
,
pp. 472-485
Persistent link: https://www.econbiz.de/10011691663
Saved in:
9
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
10
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
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