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person:"Hull, John"
~person:"Brigo, Damiano"
~person:"Kijima, Masaaki"
~person:"Longstaff, Francis A."
~person:"Schlögl, Erik"
~person:"Schön, Thomas"
~subject:"Credit"
~subject:"Insolvency"
~subject:"United States"
~subject:"Zinsstruktur"
~type:"article"
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Credit
Insolvency
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Zinsstruktur
Swap
23
Theorie
17
Theory
17
Credit derivative
9
Derivat
9
Derivative
9
Kreditderivat
9
Yield curve
9
Credit risk
8
Insolvenz
8
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8
Option pricing theory
6
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Interest rate derivative
5
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5
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21
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21
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Hull, John
Brigo, Damiano
Kijima, Masaaki
Longstaff, Francis A.
Schlögl, Erik
Schön, Thomas
Ito, Takayasu
5
White, Alan
5
Akram, Tanweer
4
Chen, Son-nan
4
Filipović, Damir
4
Malhotra, Davinder Kumar
4
Mamun, Khawaja Abdullah al
4
Wu, Liuren
4
Wu, Ting-pin
4
Batten, Jonathan A.
3
Bhargava, Vivek
3
Carr, Peter
3
Danis, András
3
French, Jack
3
Jarrow, Robert A.
3
Lin, Shih-kuei
3
Pallavicini, Andrea
3
Wall, Larry D.
3
Bansal, Vipul K.
2
Bedendo, Mascia
2
Berd, Arthur M.
2
Carman, Paul
2
Cathcart, Lara
2
Choudhry, Moorad
2
Clark, Brian
2
Collin-Dufresne, Pierre
2
D'Avino, Carmela
2
David-Pur, Lior
2
Donato, James
2
Fabozzi, Frank J.
2
Fang, Victor
2
Francis, Bill B.
2
Galil, Koresh
2
Gamba, Andrea
2
Hamori, Shigeyuki
2
Hassan, M. Kabir
2
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The journal of derivatives : the official publication of the International Association of Financial Engineers
5
Review of derivatives research
3
The journal of finance : the journal of the American Finance Association
3
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
Journal of financial economics
1
Journal of investment management : JOIM
1
Quantitative finance
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of fixed income
1
The review of financial studies
1
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ECONIS (ZBW)
21
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1
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
Saved in:
2
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
3
Deflation risk
Fleckenstein, Matthias
;
Longstaff, Francis A.
;
Lustig, Hanno
- In:
The review of financial studies
30
(
2017
)
8
,
pp. 2719-2760
Persistent link: https://www.econbiz.de/10011755601
Saved in:
4
Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian
;
Schön, Thomas
- In:
The journal of credit risk : published quarterly by …
12
(
2016
)
1
,
pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
Saved in:
5
Do correlated defaults matter for CDS premia?
Koziol, Christian
;
Koziol, Philipp
;
Schön, Thomas
- In:
Review of derivatives research
18
(
2015
)
3
,
pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
Saved in:
6
OIS discounting, interest rate derivatives, and the modeling of stochastic interest rate spreads
Hull, John
;
White, Alan
- In:
Journal of investment management : JOIM
13
(
2015
)
1
,
pp. 64-83
Persistent link: https://www.econbiz.de/10011635240
Saved in:
7
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano
;
Capponi, Agostino
;
Pallavicini, Andrea
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
Saved in:
8
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
9
Municipal debt and marginal tax rates : is there a tax premium in asset prices ?
Longstaff, Francis A.
- In:
The journal of finance : the journal of the American …
66
(
2011
)
3
,
pp. 721-751
Persistent link: https://www.econbiz.de/10009160340
Saved in:
10
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Brigo, Damiano
;
El-Bachir, Naoufel
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10008665084
Saved in:
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