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isPartOf:"The journal of fixed income"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~isPartOf:"The journal of futures markets"
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Interest rate derivative
193
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193
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57
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193
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Chen, Son-nan
6
Wu, Ting-pin
6
Chance, Don M.
5
Gay, Gerald D.
5
Chen, Ren-Raw
4
Hegde, Shantaram P.
4
Koch, Timothy W.
4
Kolb, Robert W.
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Bhattacharya, Anand K.
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Hein, Scott E.
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3
Ma, Christopher K.
3
MacDonald, S. Scott
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Ap Gwilym, Owain
2
Brooks, Robert
2
Brown, Rob
2
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2
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2
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Hill, Joanne M.
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In, Francis Haeuck
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Jordan, James V.
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Kane, Alex
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Koppenhaver, Gary D.
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Krehbiel, Timothy L.
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Lekkos, Ilias
2
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2
Marcus, Alan J.
2
Milas, Costas
2
Peterson, Richard Lewis
2
Reichenstein, William R.
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Ritchken, Peter H.
2
Ronn, Ehud I.
2
Sankarasubramanian, L.
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
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International Conference on Derivatives and Risk Management <2003, Schanghai>
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The journal of fixed income
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
International journal of theoretical and applied finance
33
Advances in futures and options research : a research annual
28
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
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13
Journal of financial economics
13
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13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
11
International review of financial analysis
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9
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8
Economics letters
8
Quantitative finance
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
Journal of economic dynamics & control
7
Journal of mathematical finance
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ECONIS (ZBW)
193
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
Hedging securities and Silicon Valley Bank idiosyncrasies
Kim, Raymond
- In:
The journal of futures markets
44
(
2024
)
4
,
pp. 653-672
Persistent link: https://www.econbiz.de/10014536665
Saved in:
3
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
4
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
5
A Skellam market model for loan prime rate options
Chen, Zhanyu
;
Zhang, Kai
;
Zhao, Hongbiao
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
Saved in:
6
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
7
The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets
Nie, Jing
;
Penen Malagon, Juliana
;
Williams, Julian
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1434-1465
Persistent link: https://www.econbiz.de/10013287987
Saved in:
8
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:
9
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:
10
The zero lower bound and economic determinants of the volatility surface in the interest cap markets
Kim, Myeong Hyeon
;
Kim, Changki
;
Hwang, Injun
- In:
The journal of futures markets
37
(
2017
)
6
,
pp. 578-598
Persistent link: https://www.econbiz.de/10011950845
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