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subject:"Optionspreistheorie"
~accessRights:"restricted"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"The journal of futures markets"
~subject:"Capital income"
~type:"article"
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Search: subject_exact:"Interest rate spread"
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Optionspreistheorie
Capital income
Yield curve
28
Zinsstruktur
28
Volatility
10
Volatilität
10
Theorie
9
Theory
9
Finance
8
Option pricing theory
8
Forecasting model
6
Interest rate derivative
6
Prognoseverfahren
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Kapitaleinkommen
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Risk premium
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USA
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Rohstoffderivat
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11
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Fanelli, Viviana
2
Agarwalla, Sobhesh Kumar
1
Chen, Ren-Raw
1
Dai, Tian-Shyr
1
Fan, Chen-Chiang
1
He, Xin-Jiang
1
Hsieh, Pei-Lin
1
Huang, Jeffrey
1
Kumar, Sudarshan
1
Li, Haitao
1
Li, Xiaowei
1
Lin, Sha
1
Liu, Liang-Chih
1
Liu, Xiaoxi
1
McGee, Richard J.
1
McGroarty, Frank
1
Recchioni, Maria Cristina
1
Renne, Jean-Paul
1
Tedeschi, Gabriele
1
Varma, Jayanth Rama
1
Virmani, Vineet
1
Wang, Chuan-Ju
1
Wang, Jr-Yan
1
Xie, Jinming
1
Ye, Xiaoxia
1
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European journal of operational research : EJOR
The journal of futures markets
Finance research letters
22
Journal of banking & finance
22
Quantitative finance
17
International journal of theoretical and applied finance
16
Journal of financial economics
16
International journal of financial engineering
14
The North American journal of economics and finance : a journal of financial economics studies
13
Journal of empirical finance
11
International review of economics & finance : IREF
10
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Applied mathematical finance
8
Journal of international money and finance
8
Review of derivatives research
8
The journal of computational finance
7
Financial markets and portfolio management
6
International journal of bonds and derivatives
6
International journal of finance & economics : IJFE
6
Journal of economic dynamics & control
6
Journal of forecasting
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
6
The European journal of finance
6
The quarterly journal of finance
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Applied economics letters
5
Emerging markets, finance and trade : EMFT
5
Finance and stochastics
5
Journal of financial markets
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Journal of international financial markets, institutions & money
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Journal of mathematical finance
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Research in international business and finance
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Review of finance : journal of the European Finance Association
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Annals of financial economics
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Economic modelling
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Economics letters
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Insurance / Mathematics & economics
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International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
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1
Harvesting the volatility smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
2
Predictive power of the implied volatility term structure in the fixed-income market
Chen, Ren-Raw
;
Hsieh, Pei-Lin
;
Huang, Jeffrey
;
Li, Xiaowei
- In:
The journal of futures markets
43
(
2023
)
3
,
pp. 349-383
Persistent link: https://www.econbiz.de/10014293073
Saved in:
3
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
4
Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure
He, Xin-Jiang
;
Lin, Sha
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 951-967
Persistent link: https://www.econbiz.de/10014293271
Saved in:
5
A stochastic-volatility equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
6
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
7
The risk premium that never was : a fair value explanation of the volatility spread
McGee, Richard J.
;
McGroarty, Frank
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 370-380
Persistent link: https://www.econbiz.de/10011785787
Saved in:
8
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
9
From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina
;
Tedeschi, Gabriele
- In:
European journal of operational research : EJOR
262
(
2017
)
3
,
pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
Saved in:
10
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
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