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subject:"United Kingdom"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz"
~subject:"Volatilität"
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United Kingdom
Volatilität
Interest rate derivative
22
Zinsderivat
22
Option pricing theory
9
Optionspreistheorie
9
Theorie
9
Theory
9
Yield curve
9
Zinsstruktur
9
Derivat
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Derivative
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Estimation
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Börsenkurs
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Deutschland
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Germany
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Zins
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Market microstructure
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Marktmikrostruktur
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Ankündigungseffekt
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Announcement effect
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Euromarkets
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Euromarkt
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Interest rate derivatives
2
Microeconometrics
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Mikroökonometrie
2
USA
2
United States
2
interest rate derivatives
2
ARCH model
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ARCH-Modell
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Hautsch, Nikolaus
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Bhar, Ramaprasad
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Gerhard, Frank
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Hess, Dieter
1
Hoencamp, J. H.
1
Kandhai, B. D.
1
Kort, J. P. de
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Applied mathematical finance
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
The journal of futures markets
19
International journal of theoretical and applied finance
9
The journal of fixed income
8
The European journal of finance
5
Discussion paper
4
Finance and stochastics
4
Journal of banking & finance
4
Journal of international financial markets, institutions & money
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Review of derivatives research
4
Review of futures markets
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The journal of computational finance
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Discussion paper / Tinbergen Institute
3
Economic modelling
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International review of financial analysis
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Quarterly bulletin / Bank of England
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Research paper series / Swiss Finance Institute
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Temi di discussione del Servizio Studi / Banca d'Italia
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Working paper series / European Central Bank
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Advances in Pacific Basin financial markets
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Advances in investment analysis and portfolio management : a research annual
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Applied financial economics
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Applied financial economics letters
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CoFE discussion papers
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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European journal of operational research : EJOR
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Europäische Hochschulschriften / 5
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Global finance journal
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IMES discussion paper series / Englische Ausgabe
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International finance
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International journal of business
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International review of finance
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ECONIS (ZBW)
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
Saved in:
3
The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus
;
Hess, Dieter
-
2002
Persistent link: https://www.econbiz.de/10001683737
Saved in:
4
Volatility estimation on the basis of price intensities
Gerhard, Frank
;
Hautsch, Nikolaus
-
1999
Persistent link: https://www.econbiz.de/10001447119
Saved in:
5
Interest rate futures : estimation of volatility parameters in an arbitrage-free framework
Bhar, Ramaprasad
- In:
Applied mathematical finance
4
(
1997
)
4
,
pp. 181-199
Persistent link: https://www.econbiz.de/10001238761
Saved in:
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