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isPartOf:"The journal of fixed income"
~isPartOf:"The journal of computational finance"
~subject:"Credit risk"
~subject:"Derivative"
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Search: subject_exact:"Interest rate swap"
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Credit risk
Derivative
Interest rate derivative
52
Zinsderivat
52
Yield curve
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29
Theorie
28
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28
Option pricing theory
21
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21
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Kennedy, Joanne E.
2
Belton, Terrence M.
1
Bhuruth, Muddun
1
Coonjobeharry, Radha Krishn
1
Eom, Young Ho
1
Gargouri, Ayoub
1
Gogala, Jaka
1
Kaisajuntti, Linus
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Kerkhof, Franciscus Lambertus Johannes
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1
Tangman, Désiré Yannick
1
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1
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1
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The journal of fixed income
The journal of computational finance
The journal of futures markets
14
International journal of theoretical and applied finance
11
Applied mathematical finance
7
Journal of banking & finance
7
Quantitative finance
6
Journal of financial economics
5
Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Review of derivatives research
4
The journal of derivatives : the official publication of the International Association of Financial Engineers
4
Annual review of financial economics
3
European journal of operational research : EJOR
3
Europäische Hochschulschriften / 5
3
International journal of financial engineering
3
International review of financial analysis
3
Journal of mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
3
NBER working paper series
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SAFE working paper
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The handbook of fixed income securities
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Interest rate modelling after the financial crisis
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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
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:
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
Transmission of swap spreads and volatilities in the Japenese swap market
Eom, Young Ho
;
Subrahmanyam, Marti G.
;
Uno, Jun
- In:
The journal of fixed income
12
(
2002
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10001725689
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