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subject:"Interest rate derivative"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Derivative"
~subject:"Optionspreistheorie"
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Interest rate derivative
Derivative
Optionspreistheorie
Yield curve
111
Zinsstruktur
111
Theorie
51
Theory
51
Option pricing theory
40
Stochastic process
26
Stochastischer Prozess
26
Zinsderivat
26
Derivat
25
Volatility
17
Volatilität
17
Interest rate
16
Zins
16
Credit risk
15
Kreditrisiko
15
Risikoprämie
12
Risk premium
12
Swap
12
CAPM
11
Markov chain
11
Markov-Kette
11
Anleihe
10
Bond
10
Estimation
9
Schätzung
9
Portfolio selection
7
Portfolio-Management
7
Credit derivative
6
Kreditderivat
6
Capital income
5
Estimation theory
5
Hedging
5
Kapitaleinkommen
5
Schätztheorie
5
Credit
4
Forecasting model
4
Geldmarkt
4
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English
60
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Baviera, Roberto
2
Biagini, Francesca
2
Bouchaud, Jean-Philippe
2
Brigo, Damiano
2
Macrina, Andrea
2
Matacz, Andrew
2
Mercurio, Fabio
2
Schmidt, Thorsten
2
Yasuoka, Takashi
2
Akahori, Jirô
1
Almeida, Caio
1
Andresen, Arne
1
Antonacci, Flavia
1
Avellaneda, Marco
1
Banerjee, Tamal
1
Belomestny, Denis
1
Benth, Fred Espen
1
Bermin, Hans-Peter
1
Blaskowitz, Olilver
1
Bregman, Julia
1
Brody, Dorje C.
1
Chege Maina, Samuel
1
Chen, An
1
Chiarella, Carl
1
Chu, Chi Chiu
1
Cont, Rama
1
Costantini, Cristina
1
Criens, David
1
D'Ippoliti, Fernanda
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Daniluk, Andrzej
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De Malherbe, Etienne
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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International journal of theoretical and applied finance
Mathematical finance : an international journal of mathematics, statistics and financial theory
39
Journal of banking & finance
38
The journal of fixed income
32
Applied mathematical finance
28
The journal of futures markets
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
27
The journal of computational finance
25
Finance and stochastics
22
Quantitative finance
20
Journal of financial economics
19
Review of derivatives research
19
The journal of finance : the journal of the American Finance Association
16
The review of financial studies
16
International journal of financial engineering
13
International review of financial analysis
12
Risks : open access journal
12
Discussion paper / B
11
Journal of financial and quantitative analysis : JFQA
11
The European journal of finance
11
Working paper
11
Applied financial economics
10
Asia-Pacific financial markets
10
NBER Working Paper
10
NBER working paper series
10
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Finance research letters
9
Journal of empirical finance
9
Journal of mathematical finance
9
SpringerLink / Bücher
9
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
9
Interest rate modelling after the financial crisis
8
Journal of international financial markets, institutions & money
8
Research paper series / Swiss Finance Institute
8
Working paper / National Bureau of Economic Research, Inc.
8
Advances in futures and options research : a research annual
7
European journal of operational research : EJOR
7
Insurance / Mathematics & economics
7
Journal of international money and finance
7
Lecture notes in economics and mathematical systems : LNEMS
7
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ECONIS (ZBW)
60
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1
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:
2
Option implied VIX, Skew and Kurtosis term structures
Madan, Dilip B.
;
Wang, King
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012662046
Saved in:
3
Defaultable term structures driven by semimartingales
Gümbel, Sandrine
;
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
Saved in:
4
Inflation, central bank and short-term interest rates : A new model with calibration to market data
Antonacci, Flavia
;
Costantini, Cristina
;
D'Ippoliti, …
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012887366
Saved in:
5
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
6
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:
7
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
8
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
9
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:
10
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:
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