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isPartOf:"The journal of futures markets"
~subject:"Interest rate derivative"
~subject:"Prognose"
~subject:"Theorie"
~subject:"Volatility"
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Interest rate derivative
Prognose
Theorie
Volatility
Zinsderivat
139
USA
100
United States
96
Public bond
56
Öffentliche Anleihe
56
Theory
39
Hedging
37
Zins
28
Interest rate
27
Volatilität
17
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17
Zinsstruktur
17
CAPM
16
Derivat
14
Derivative
14
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14
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14
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12
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9
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147
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143
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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
183
NBER Working Paper
163
Working paper / National Bureau of Economic Research, Inc.
156
Journal of money, credit and banking : JMCB
89
Journal of monetary economics
78
Discussion paper / Centre for Economic Policy Research
76
Economic modelling
74
Journal of macroeconomics
74
Journal of economic dynamics & control
73
Economics letters
68
Working paper
68
Applied economics
61
Journal of banking & finance
56
IMF working papers
55
Journal of international money and finance
54
Working paper series / European Central Bank
53
International journal of theoretical and applied finance
49
Applied financial economics
44
Discussion papers / CEPR
44
Finance and economics discussion series
40
The journal of finance : the journal of the American Finance Association
40
The journal of fixed income
40
CESifo working papers
38
Macroeconomic dynamics
38
Advances in futures and options research : a research annual
30
ECB Working Paper
30
IMF working paper
30
International review of economics & finance : IREF
30
Journal of international financial markets, institutions & money
30
The review of financial studies
30
Applied economics letters
29
Insurance / Mathematics & economics
29
Discussion paper
28
Europäische Hochschulschriften / 5
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
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
26
European economic review : EER
25
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ECONIS (ZBW)
148
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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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