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subject:"Interest rate derivative"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Working papers / The Levy Economics Institute"
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Interest rate derivative
Yield curve
198
Zinsstruktur
198
Theorie
92
Theory
92
Interest rate
41
Risikoprämie
40
Risk premium
40
Zins
40
Estimation
35
Schätzung
35
Geldpolitik
34
Monetary policy
34
Public bond
33
Öffentliche Anleihe
33
CAPM
32
Capital income
27
Credit risk
27
Kapitaleinkommen
27
Kreditrisiko
27
Option pricing theory
26
Optionspreistheorie
26
Stochastic process
23
Stochastischer Prozess
23
USA
22
United States
22
Volatility
20
Volatilität
20
Zinsderivat
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Monetary Policy
18
Bond
17
Anleihe
16
Term structure
14
Corporate bond
13
Unternehmensanleihe
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Derivat
12
Derivative
12
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Risiko
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Akram, Tanweer
4
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1
Arrouy, Pierre-Edouard
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Bakshi, Gurdip S.
1
Barski, Michał
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Gupta, Anurag
1
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1
Jacobs, Kris
1
Karoui, Lotfi
1
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1
Kwon, Oh Kang
1
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1
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Finance and stochastics
Journal of financial economics
Working papers / The Levy Economics Institute
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of fixed income
14
The journal of futures markets
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Interest rate modelling after the financial crisis
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
Discussion paper / B
6
International review of financial analysis
6
Review of derivatives research
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Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Annual review of financial economics
3
Applied economics
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Applied financial economics letters
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Asia-Pacific financial markets
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Bonn Econ Discussion Papers / BGSE
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ECONIS (ZBW)
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11
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
12
Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
13
Decomposing swap spreads
Feldhütter, Peter
;
Lando, David
- In:
Journal of financial economics
88
(
2008
)
2
,
pp. 375-405
Persistent link: https://www.econbiz.de/10003720318
Saved in:
14
The Lévy LIBOR model
Eberlein, Ernst
;
Özkan, Fehmi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
Saved in:
15
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
Saved in:
16
An empirical examination of the convexity bias in the pricing of interest rate swaps
Gupta, Anurag
;
Subrahmanyam, Marti G.
- In:
Journal of financial economics
55
(
2000
)
2
,
pp. 239-279
Persistent link: https://www.econbiz.de/10001448506
Saved in:
17
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
Saved in:
18
Path dependent options on yields in the affine term structure model
Leblanc, Boris
- In:
Finance and stochastics
2
(
1998
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
Saved in:
19
Continuous-time term structure models : forward measure approach
Musiela, Marek
- In:
Finance and stochastics
1
(
1997
)
4
,
pp. 261-291
Persistent link: https://www.econbiz.de/10001226612
Saved in:
20
Implied volatility functions in arbitrage-free term structure models
Amin, Kaushik I.
- In:
Journal of financial economics
35
(
1994
)
2
,
pp. 141-180
Persistent link: https://www.econbiz.de/10001159961
Saved in:
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