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isPartOf:"The journal of futures markets"
~source:"econis"
~subject:"Interest rate derivative"
~subject:"Theorie"
~subject:"Volatilität"
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Interest rate derivative
Theorie
Volatilität
Zinsderivat
139
USA
100
United States
96
Public bond
56
Öffentliche Anleihe
56
Theory
39
Hedging
37
Zins
28
Interest rate
27
Volatility
17
Yield curve
17
Zinsstruktur
17
CAPM
16
Derivat
14
Derivative
14
Government securities
14
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14
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12
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9
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148
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Chance, Don M.
5
Gay, Gerald D.
5
Hegde, Shantaram P.
4
Koch, Timothy W.
4
Kolb, Robert W.
4
Arak, Marcelle V.
3
Bhattacharya, Anand K.
3
Hein, Scott E.
3
Kawaller, Ira G.
3
Ma, Christopher K.
3
MacDonald, S. Scott
3
Bali, Turan G.
2
Batlin, Carl A.
2
Castelino, Mark G.
2
Chen, Ren-Raw
2
Chen, Son-nan
2
Cole, C. Steven
2
Frino, Alex
2
Fung, Hung-gay
2
Goodman, Laurie Sharon
2
Hill, Joanne M.
2
Jones, Frank Joseph
2
Jordan, James V.
2
Kane, Alex
2
Koppenhaver, Gary D.
2
Krehbiel, Timothy L.
2
Lekkos, Ilias
2
Livingston, Miles
2
Marcus, Alan J.
2
Milas, Costas
2
Peterson, Richard Lewis
2
Reichenstein, William R.
2
Ritchken, Peter H.
2
Sankarasubramanian, L.
2
Schneeweis, Thomas
2
Sears, R. Stephen
2
Senchack, Andrew J.
2
Tse, Yiuman
2
Webb, Robert I.
2
Wu, Tao L.
2
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
1
International Conference on Derivatives and Risk Management <2003, Schanghai>
1
Published in...
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The journal of futures markets
NBER working paper series
175
NBER Working Paper
156
Working paper / National Bureau of Economic Research, Inc.
146
Journal of money, credit and banking : JMCB
86
Journal of monetary economics
78
Discussion paper / Centre for Economic Policy Research
73
Journal of macroeconomics
72
Economic modelling
71
Journal of economic dynamics & control
71
Working paper
66
Economics letters
65
Applied economics
58
Journal of banking & finance
55
IMF working papers
53
Journal of international money and finance
51
International journal of theoretical and applied finance
49
Working paper series / European Central Bank
48
Discussion papers / CEPR
44
Applied financial economics
43
The journal of fixed income
40
The journal of finance : the journal of the American Finance Association
39
Finance and economics discussion series
38
Macroeconomic dynamics
37
CESifo working papers
36
Advances in futures and options research : a research annual
30
The review of financial studies
30
IMF working paper
29
Insurance / Mathematics & economics
29
International review of economics & finance : IREF
29
Journal of international financial markets, institutions & money
28
Discussion paper
27
Journal of financial economics
27
The journal of computational finance
27
The journal of derivatives : the official publication of the International Association of Financial Engineers
27
Europäische Hochschulschriften / 5
25
Staff reports / Federal Reserve Bank of New York
25
The American economic review
25
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
25
European economic review : EER
24
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
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
Options on federal funds futures and interest rate volatility
Sultan, Jahangir
- In:
The journal of futures markets
32
(
2012
)
4
,
pp. 330-359
Persistent link: https://www.econbiz.de/10010218777
Saved in:
9
Multiscale stochastic volatility with the Hull-White rate of interest
Kim, Jeong-Hoon
;
Yoon, Ji-Hun
;
Yu, Seok-Hyon
- In:
The journal of futures markets
34
(
2014
)
9
,
pp. 819-837
Persistent link: https://www.econbiz.de/10010507934
Saved in:
10
Pricing and hedging the smile with SABR : evidence from the interest rate caps market
Wu, Tao L.
- In:
The journal of futures markets
32
(
2012
)
8
,
pp. 773-791
Persistent link: https://www.econbiz.de/10009554750
Saved in:
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