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isPartOf:"The journal of fixed income"
~isPartOf:"The journal of computational finance"
~subject:"Credit risk"
~subject:"Zinsstruktur"
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Search: subject_exact:"Interest rate swap"
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Credit risk
Zinsstruktur
Interest rate derivative
52
Zinsderivat
52
Yield curve
29
Theorie
28
Theory
28
Option pricing theory
21
Optionspreistheorie
21
Derivat
10
Derivative
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Swap
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Ho, Thomas S. Y.
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Joshi, Mark S.
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Korn, Ralf
2
Schoenmakers, John
2
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1
Aspremont, Alexandre d'
1
Bandreddi, Santhosh
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The journal of fixed income
The journal of computational finance
International journal of theoretical and applied finance
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
15
The journal of futures markets
15
Journal of banking & finance
13
Applied mathematical finance
10
Interest rate modelling after the financial crisis
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of finance : the journal of the American Finance Association
10
International journal of financial engineering
9
The review of financial studies
9
Finance and stochastics
8
Journal of financial economics
8
Quantitative finance
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Applied financial economics
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Journal of mathematical finance
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Review of derivatives research
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International review of financial analysis
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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
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Economics letters
4
European journal of operational research : EJOR
4
Gabler Edition Wissenschaft
4
Journal of economic dynamics & control
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
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NBER Working Paper
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NBER working paper series
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / The Levy Economics Institute
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Annual review of financial economics
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Applied economics
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Applied financial economics letters
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ECONIS (ZBW)
30
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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
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
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:
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
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:
6
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:
7
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
8
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:
9
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:
10
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
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