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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"International journal of financial engineering"
~isPartOf:"The journal of fixed income"
~subject:"Zinsderivat"
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Search: subject_exact:"BGM model"
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Zinsderivat
Yield curve
196
Zinsstruktur
196
Theorie
86
Theory
86
USA
51
United States
51
Estimation
33
Schätzung
33
Option pricing theory
29
Optionspreistheorie
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Risikoprämie
27
Risk premium
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Interest rate
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Zins
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Interest rate derivative
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CAPM
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Öffentliche Anleihe
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Estimation theory
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Time series analysis
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Zeitreihenanalyse
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Forecasting model
12
Prognoseverfahren
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Derivat
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25
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Ho, Thomas S. Y.
2
Mi, Yanhui
2
Zhong, Yangfan
2
Bali, Turan
1
Bandreddi, Santhosh
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
Brown, Rob
1
Clewlow, Les
1
Curtillet, Jean-Christophe
1
Das, Sanjiv R.
1
Elliott, Robert J.
1
Eom, Young Ho
1
Fan, Rong
1
Fang, Victor
1
Fuji, Masaaki
1
Giribone, Pier Giuseppe
1
Heidari, Massoud
1
Hull, John
1
In, Francis Haeuck
1
Jain, Shashi
1
Jamshidian, Farshid
1
Karlsson, Patrik
1
Kerkhof, Franciscus Lambertus Johannes
1
Klein, Daniel
1
Ligato, Simone
1
Mulas, Martina
1
Ngene, Geoffrey
1
Nikitina, Elena
1
Oosterlee, Cornelis Willebrordus
1
Ostrovski, Vladimir
1
Pagès, Henri
1
Pan, Jian
1
Schwarzkopf, Yonathan
1
Strickland, Chris
1
Subrahmanyam, Marti G.
1
Swanson, Norman R.
1
Tah, Kenneth A.
1
Takahashi, Akihiko
1
Uno, Jun
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
International journal of financial engineering
The journal of fixed income
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Journal of financial economics
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
International review of financial analysis
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
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Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
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Asia-Pacific financial markets
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Bonn Econ Discussion Papers / BGSE
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Gabler Edition Wissenschaft
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IMF working papers
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ECONIS (ZBW)
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1
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:
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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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