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subject:"Optionspreistheorie"
~isPartOf:"Finance and stochastics"
~isPartOf:"Finance research letters"
~isPartOf:"The review of financial studies"
~subject:"Discount margin"
~subject:"Yield curve"
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Optionspreistheorie
Discount margin
Yield curve
Interest rate derivative
33
Zinsderivat
33
Theorie
22
Theory
22
Zinsstruktur
18
Option pricing theory
14
Stochastic process
9
Stochastischer Prozess
9
USA
7
United States
7
Volatility
6
Volatilität
6
CAPM
5
Derivat
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Derivative
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Interest rate
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Zins
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Arbitrage Pricing
2
Arbitrage pricing
2
Estimation
2
Martingal
2
Martingale
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Option trading
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Optionsgeschäft
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Repo transactions
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Repo-Geschäft
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Schätzung
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1975-1987
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1976-1985
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1991-2018
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1998-1999
1
2000-2005
1
2000-2010
1
2001-2010
1
Affine processes
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Anleihe
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Asset swap
1
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Article
25
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English
25
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Ahn, Jungkyu
1
Ahn, Yongkil
1
Arrouy, Pierre-Edouard
1
Azzone, Michele
1
Barski, Michał
1
Baviera, Roberto
1
Björk, Tomas
1
Boumezoued, Alexandre
1
Chacko, George
1
Chen, Ren-Raw
1
Chiarella, Carl
1
Cuchiero, Christa
1
Das, Sanjiv
1
Eberlein, Ernst
1
Fama, Eugene F.
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldstein, Robert S.
1
Goldys, Beniamin
1
Gombani, Andrea
1
Jamshidian, Farshid
1
Kwon, Oh Kang
1
Kōnstantinidēs, Giōrgos
1
Lapeyre, Bernard
1
Leblanc, Boris
1
Li, Haitao
1
Mashele, Hopolang Phillip
1
Mehalla, Sophian
1
Musiela, Marek
1
Phillips, Peter C. B.
1
Rutkowski, Marek
1
Santa-Clara, Pedro
1
Scaillet, Olivier
1
Schwartz, Eduardo S.
1
Scott, Louis O.
1
Sonono, Masimba Energy
1
Sornette, Didier
1
Trolle, Anders B.
1
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Finance and stochastics
Finance research letters
The review of financial studies
International journal of theoretical and applied finance
28
The journal of computational finance
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
The journal of fixed income
16
The journal of futures markets
16
Applied mathematical finance
12
Journal of banking & finance
12
Review of derivatives research
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of finance : the journal of the American Finance Association
10
International journal of financial engineering
9
Journal of financial economics
9
Advances in futures and options research : a research annual
8
Interest rate modelling after the financial crisis
8
Quantitative finance
8
Applied financial economics
7
Discussion paper / B
7
Journal of mathematical finance
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
International review of financial analysis
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
European journal of operational research : EJOR
5
Gabler Edition Wissenschaft
5
Journal of financial and quantitative analysis : JFQA
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
Risks : open access journal
5
SFB 649 discussion paper
5
Advances in Pacific Basin financial markets
4
Applied economics
4
Economics letters
4
Europäische Hochschulschriften / 5
4
Global finance journal
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
NBER working paper series
4
SSE EFI working paper series in economics and finance
4
Série de trabalhos para discussão
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ECONIS (ZBW)
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1
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
2
Demystifying the US Treasury floating rate note puzzle : a swap market perspective
Ahn, Jungkyu
;
Ahn, Yongkil
- In:
Finance research letters
50
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014245417
Saved in:
3
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
4
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
5
Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy
;
Mashele, Hopolang Phillip
- In:
Finance research letters
19
(
2016
),
pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
Saved in:
6
The swaption cube
Trolle, Anders B.
;
Schwartz, Eduardo S.
- In:
The review of financial studies
27
(
2014
)
8
,
pp. 2307-2353
Persistent link: https://www.econbiz.de/10010463486
Saved in:
7
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:
8
Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao
;
Zhao, Feng
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
Saved in:
9
The behavior of interest rates
Fama, Eugene F.
- In:
The review of financial studies
19
(
2006
)
2
,
pp. 359-379
Persistent link: https://www.econbiz.de/10003354949
Saved in:
10
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:
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