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isPartOf:"Journal of international money and finance"
~isPartOf:"Journal of financial and quantitative analysis : JFQA"
~isPartOf:"Journal of mathematical finance"
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Interest rate derivative
38
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Journal of international money and finance
Journal of financial and quantitative analysis : JFQA
Journal of mathematical finance
The review of financial studies
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
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The journal of computational finance
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Review of futures markets
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The journal of finance : the journal of the American Finance Association
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Europäische Hochschulschriften / 5
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
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International review of financial analysis
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SSE EFI working paper series in economics and finance
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Interest rate futures : concepts and issues
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ECONIS (ZBW)
38
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1
Renting balance sheet space : intermediary balance sheet rental costs and the valuation of derivatives
Fleckenstein, Matthias
;
Longstaff, Francis A.
- In:
The review of financial studies
33
(
2020
)
11
,
pp. 5051-5091
Persistent link: https://www.econbiz.de/10012387416
Saved in:
2
Centralized trading, transparency, and interest rate swap market liquidity : evidence from the implementation of the Dodd-Frank Act
Benos, Evangelos
;
Payne, Richard
;
Vasios, Michalis
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10012195554
Saved in:
3
Mortgage dollar roll
Song, Zhaogang
;
Zhu, Haoxiang
- In:
The review of financial studies
32
(
2019
)
8
,
pp. 2955-2996
Persistent link: https://www.econbiz.de/10012033901
Saved in:
4
Valuation of quanto caps and floors in a calibrated multi-curve cross-currency LIBOR market model
Wamwea, Charity
;
Ngare, Philip
;
Bidima, Martin Le Doux Mbele
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 698-725
Persistent link: https://www.econbiz.de/10012433485
Saved in:
5
Implementation of stochastic yield curve duration and portfolio immunization strategies
Duedahl, Sindre
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 401-415
Persistent link: https://www.econbiz.de/10011583529
Saved in:
6
Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
5
(
2015
)
4
,
pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
Saved in:
7
Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili
;
Liu, Yonghui
;
Wang, Shoubai
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
Saved in:
8
The swaption cube
Trolle, Anders B.
;
Schwartz, Eduardo S.
- In:
The review of financial studies
27
(
2014
)
8
,
pp. 2307-2353
Persistent link: https://www.econbiz.de/10010463486
Saved in:
9
Inference for interest rate models using Milstein’s approximation
Koulis, Theodoro
;
Thavaneswaran, Aera
- In:
Journal of mathematical finance
3
(
2013
)
1
,
pp. 110-118
Persistent link: https://www.econbiz.de/10010240817
Saved in:
10
On valuing constant maturity swap spread derivatives
Tchuindjo, Léonard
- In:
Journal of mathematical finance
2
(
2012
)
2
,
pp. 189-194
Persistent link: https://www.econbiz.de/10009719245
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