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subject:"Interest rate derivative"
~isPartOf:"Discussion paper / B"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Estimation"
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Interest rate derivative
Estimation
Yield curve
131
Zinsstruktur
131
Theorie
67
Theory
67
Option pricing theory
45
Optionspreistheorie
45
Zinsderivat
32
Stochastic process
28
Stochastischer Prozess
28
Derivat
26
Derivative
26
CAPM
19
Interest rate
17
Volatility
17
Volatilität
17
Zins
17
Credit risk
16
Kreditrisiko
16
Risikoprämie
12
Risk premium
12
Swap
12
Markov chain
11
Markov-Kette
11
Anleihe
10
Bond
10
Schätzung
9
Portfolio selection
7
Portfolio-Management
7
Credit derivative
6
Hedging
6
Kreditderivat
6
Capital income
5
Estimation theory
5
Kapitaleinkommen
5
Probability theory
5
Schätztheorie
5
USA
5
United States
5
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Article
33
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6
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33
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33
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4
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4
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4
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4
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English
38
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1
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Sandmann, Klaus
6
Sondermann, Dieter
4
Baviera, Roberto
2
Bouchaud, Jean-Philippe
2
Matacz, Andrew
2
Abad, Pilar
1
Almeida, Caio
1
Andresen, Arne
1
Avellaneda, Marco
1
Belomestny, Denis
1
Benito, Sonia
1
Benth, Fred Espen
1
Biagini, Francesca
1
Blaskowitz, Olilver
1
Borries, Daniel von
1
Bregman, Julia
1
Brigo, Damiano
1
Brody, Dorje C.
1
Cont, Rama
1
Criens, David
1
De Malherbe, Etienne
1
De Marco, Stefano
1
Elliott, Robert J.
1
Gach, Florian
1
Genaro, Alan de
1
Gogala, Jaka
1
Hanton, Pierre
1
Henrard, Marc
1
Herwartz, Helmut
1
Hess, Markus
1
Hughston, Lane P.
1
Hunter, William Curt
1
Ito, Sumito
1
Jaimungal, Sebastian
1
Jamieson, Barbara M.
1
Joshi, Mark S.
1
Keller-Ressel, Martin
1
Kennedy, Joanne E.
1
Kerkhof, Franciscus Lambertus Johannes
1
Koekebakker, Steen
1
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Deutsche Forschungsgemeinschaft
2
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn
1
Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn
1
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Discussion paper / B
International journal of theoretical and applied finance
Journal of banking & finance
46
Working paper / National Bureau of Economic Research, Inc.
39
Journal of financial economics
37
NBER working paper series
37
NBER Working Paper
32
International review of economics & finance : IREF
31
Journal of international money and finance
31
The journal of fixed income
30
Applied financial economics
28
Applied economics
27
Finance and economics discussion series
27
Working paper
27
Discussion paper / Centre for Economic Policy Research
25
Journal of empirical finance
25
The journal of finance : the journal of the American Finance Association
24
Applied economics letters
22
International journal of finance & economics : IJFE
21
Journal of financial and quantitative analysis : JFQA
20
Economic modelling
19
Finance research letters
19
Journal of economic dynamics & control
19
Journal of money, credit and banking : JMCB
19
The North American journal of economics and finance : a journal of financial economics studies
19
The journal of futures markets
19
The review of financial studies
19
Research paper series / Swiss Finance Institute
18
Journal of international financial markets, institutions & money
17
International review of financial analysis
16
The journal of derivatives : the official publication of the International Association of Financial Engineers
16
CESifo working papers
15
Discussion paper
15
Discussion papers / CEPR
15
The journal of computational finance
15
BIS working papers
14
Economics letters
14
Working paper series / European Central Bank
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of econometrics
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
39
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1
The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
Keller-Ressel, Martin
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012662032
Saved in:
2
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
3
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
4
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
5
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
6
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
Saved in:
7
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
8
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
9
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
10
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
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