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subject:"Optionspreistheorie"
~isPartOf:"Finance and stochastics"
~isPartOf:"Finance research letters"
~subject:"Discount margin"
~subject:"Stochastischer Prozess"
~subject:"Yield curve"
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Optionspreistheorie
Discount margin
Stochastischer Prozess
Yield curve
Interest rate derivative
18
Zinsderivat
18
Theorie
13
Theory
13
Option pricing theory
11
Zinsstruktur
9
Stochastic process
6
Derivat
4
Derivative
4
Volatility
4
Volatilität
4
Interest rate
3
Zins
3
Arbitrage Pricing
2
Arbitrage pricing
2
Option trading
2
Optionsgeschäft
2
Affine processes
1
Anleihe
1
Asset swap
1
Basis swap
1
Bid-ask prices
1
Bid-ask spread
1
Bond
1
Capital income
1
Caps
1
Cost of capital
1
Cost of funding
1
Currency derivative
1
Expansion series
1
Floating rate note
1
Floors
1
Forward price
1
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1
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1
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17
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Björk, Tomas
2
Ahn, Jungkyu
1
Ahn, Yongkil
1
Arrouy, Pierre-Edouard
1
Azzone, Michele
1
Barski, Michał
1
Baviera, Roberto
1
Boumezoued, Alexandre
1
Chiarella, Carl
1
Cuchiero, Christa
1
Eberlein, Ernst
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldys, Beniamin
1
Gombani, Andrea
1
Jamshidian, Farshid
1
Kwon, Oh Kang
1
Landén, Camilla
1
Lapeyre, Bernard
1
Leblanc, Boris
1
Mashele, Hopolang Phillip
1
Mehalla, Sophian
1
Musiela, Marek
1
Rutkowski, Marek
1
Scaillet, Olivier
1
Sonono, Masimba Energy
1
Vargiolu, Tiziano
1
Zabczyk, Jerzy
1
Zhao, Xiaoliang
1
Özkan, Fehmi
1
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Finance and stochastics
Finance research letters
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
The review of financial studies
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
SSE EFI working paper series in economics and finance
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
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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
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:
7
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:
8
On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas
;
Landén, Camilla
- In:
Finance and stochastics
6
(
2002
)
3
,
pp. 303-331
Persistent link: https://www.econbiz.de/10001680671
Saved in:
9
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:
10
Arbitrage-free discretization of lognormal forward Libor and swap rate models
Glasserman, Paul
;
Zhao, Xiaoliang
- In:
Finance and stochastics
4
(
2000
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10001486621
Saved in:
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