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isPartOf:"The journal of fixed income"
~isPartOf:"Journal of financial economics"
~isPartOf:"Selected writings on futures markets : explorations in financial futures markets"
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Interest rate derivative
54
Zinsderivat
54
Theorie
23
Theory
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22
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22
USA
18
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Ap Gwilym, Owain
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Rendleman, Richard J.
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The journal of fixed income
Journal of financial economics
Selected writings on futures markets : explorations in financial futures markets
The journal of futures markets
139
International journal of theoretical and applied finance
33
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
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
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The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
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Journal of international financial markets, institutions & money
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The review of financial studies
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Review of derivatives research
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
11
International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
9
NBER working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
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Economics letters
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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Applied economics
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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Journal of economic dynamics & control
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Journal of mathematical finance
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ECONIS (ZBW)
54
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Life after LIBOR
Klingler, Sven
;
Syrstad, Olav
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
Saved in:
3
OTC premia
Cenedese, Gino
;
Ranaldo, Angelo
;
Vasios, Michalis
- In:
Journal of financial economics
136
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012545370
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 predictive power of the implied volatility of interest rates : evidence from USD, EUR, and JPY swaption
Hattori, Takahiro
- In:
The journal of fixed income
27
(
2017
)
1
,
pp. 67-76
Persistent link: https://www.econbiz.de/10011697773
Saved in:
6
Revisiting interest rate swap valuation with counterparty risk, wrong-way risk, and OIS discounting
Gargouri, Ayoub
;
Lai, Van Son
;
Soumaré, Issouf
- In:
The journal of fixed income
26
(
2017
)
3
,
pp. 63-80
Persistent link: https://www.econbiz.de/10011684745
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
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
9
The term structure of interbank risk
Filipović, Damir
;
Trolle, Anders B.
- In:
Journal of financial economics
109
(
2013
)
3
,
pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
Saved in:
10
Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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