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isPartOf:"The journal of fixed income"
~isPartOf:"Economics letters"
~isPartOf:"The journal of computational finance"
~subject:"Derivat"
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Search: subject_exact:"Interest rate swap"
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Derivat
Interest rate derivative
60
Zinsderivat
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Yield curve
33
Zinsstruktur
33
Theorie
32
Theory
32
Option pricing theory
21
Optionspreistheorie
21
Swap
12
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12
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12
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11
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9
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Kennedy, Joanne E.
2
Belton, Terrence M.
1
Bhuruth, Muddun
1
Coonjobeharry, Radha Krishn
1
D'Avino, Carmela
1
Gogala, Jaka
1
Kaisajuntti, Linus
1
Kerkhof, Franciscus Lambertus Johannes
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Korn, Ralf
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Lutz, Matthias
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1
Sidenius, Jakob
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The journal of fixed income
Economics letters
The journal of computational finance
The journal of futures markets
13
International journal of theoretical and applied finance
10
Applied mathematical finance
7
Quantitative finance
6
Journal of banking & finance
4
Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
4
Report / Erasmus Center for Financial Research, Erasmus University
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4
Annual review of financial economics
3
Europäische Hochschulschriften / 5
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International review of financial analysis
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Journal of financial economics
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Journal of mathematical finance
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Review of derivatives research
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SAFE working paper
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SpringerLink / Bücher
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The European journal of finance
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The handbook of fixed income securities
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The journal of credit risk : published quarterly by Incisive Media
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Bank- und finanzwirtschaftliche Forschungen
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European journal of operational research : EJOR
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Finance and economics discussion series
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Finance and stochastics
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Finance research letters
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Financial engineering explained
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Finanzmarkt und Portfolio-Management
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Harvard Business School Finance Case
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IES working paper
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International Journal of Financial Markets and Derivatives : IJFMD
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International journal of financial engineering
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Journal of investment management : JOIM
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Journal of risk and financial management : JRFM
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Springer Texts in Business and Economics
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Staff working papers / Bank of England
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
11
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
3
Banking regulation and the changing geography of off-balance sheet activities
D'Avino, Carmela
- In:
Economics letters
157
(
2017
),
pp. 155-158
Persistent link: https://www.econbiz.de/10011847337
Saved in:
4
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
5
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
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
6
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
7
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
Saved in:
8
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
9
Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes
- In:
The journal of fixed income
15
(
2006
)
4
,
pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
Saved in:
10
Swaps as a synthetic asset class
Belton, Terrence M.
;
Wadhwa, Pavan
- In:
The journal of fixed income
12
(
2002
)
3
,
pp. 32-39
Persistent link: https://www.econbiz.de/10001763886
Saved in:
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