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source:"econis"
~accessRights:"restricted"
~isPartOf:"The journal of computational finance"
~subject:"Interest rate derivative"
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Search: subject_exact:"Fristigkeitsstruktur der Zinssätze"
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Interest rate derivative
Yield curve
9
Zinsstruktur
9
Option pricing theory
7
Optionspreistheorie
7
Zinsderivat
4
Monte Carlo simulation
3
Monte-Carlo-Simulation
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swaptions
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Arbitrage pricing
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Artificial intelligence
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Bermudan products
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Black-Scholes model
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EU countries
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EU-Staaten
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Estimation
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Estimation theory
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Fong-Vasicek (FV) model
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Heath-Jarrow-Morton framework
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Heath-Platen (HP) estimator
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Coskun, Sema
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Desmettre, Sascha
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Joshi, Mark S.
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The journal of computational finance
International journal of financial engineering
9
International journal of theoretical and applied finance
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International review of financial analysis
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Annual review of financial economics
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Journal of international financial markets, institutions & money
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New methods in fixed income modeling : fixed income modeling
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Research paper series / Swiss Finance Institute
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Review of derivatives research
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of corporate accounting & finance
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Advances in Pacific Basin business, economics and finance
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ECONIS (ZBW)
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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
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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
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:
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