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subject:"Announcement effect"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"LIBOR market model"
~subject:"Swap"
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Announcement effect
LIBOR market model
Swap
Interest rate derivative
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Zinsderivat
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Interest rate
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Option pricing theory
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Optionspreistheorie
2
Yield curve
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Zins
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Zinsstruktur
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Ankündigungseffekt
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Bermudan options
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Börsenkurs
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Callable accreting interest rate swap
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Central bank
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Central bank announcements
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Derivat
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Derivative
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Efficient market hypothesis
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Effizienzmarkthypothese
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Estimation
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Geldpolitik
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Government bond futures
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Herdenverhalten
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Herding
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Herding behavior
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Hull and White model
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Information efficiency
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Interest rate derivatives
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Interest rate risk
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Interest rate risk exposure
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Jump risks
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Kleinste-Quadrate-Methode
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Least Squares Monte-Carlo
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Least squares method
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Life insurance
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Lin, Shih-kuei
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Chen, Carl R.
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Kamada, Koichiro
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Kurosaki, Tetsuo
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Lin, Chao-Yang
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Miura, Ko
1
Tang, Kin Boon
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Wang, Shin-yun
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Xu, Lian-Wen
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The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
10
The journal of futures markets
8
Working papers / The Levy Economics Institute
8
Applied mathematical finance
5
International journal of financial engineering
5
International review of financial analysis
5
The journal of computational finance
5
The journal of fixed income
5
Journal of banking & finance
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Journal of financial economics
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The journal of finance : the journal of the American Finance Association
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Applied economics
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Bank of England Working Paper
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Discussion paper
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Economics letters
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Financial markets and portfolio management
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Research paper series / Swiss Finance Institute
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Staff working papers / Bank of England
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Working paper series / Federal Reserve Bank of Atlanta
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Working paper series / Frankfurt School of Finance & Management
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Applied financial economics letters
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CoFE discussion papers
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Corporate risk : strategies and management
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DNB working paper
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De Nederlandsche Bank Working Paper
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Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
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European journal of operational research : EJOR
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Europäische Hochschulschriften / 5
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Financial markets and instruments
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HKIMR working paper
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Harvard Business School Finance Case
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IMES discussion paper series / Englische Ausgabe
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International finance
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Journal / The Capco Institute : journal of financial transformation
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Journal of economic dynamics & control
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Journal of international financial markets, institutions & money
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Journal of mathematical finance
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ECONIS (ZBW)
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1
Central bank policy announcements and changes in trading behavior : evidence from bond futures high frequency price data
Kamada, Koichiro
;
Kurosaki, Tetsuo
;
Miura, Ko
;
Yamada, …
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013413462
Saved in:
2
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
3
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
Saved in:
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