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subject:"Yield curve"
~accessRights:"restricted"
~isPartOf:"Algorithmic finance"
~isPartOf:"European financial management : the journal of the European Financial Management Association"
~isPartOf:"Journal of international financial markets, institutions & money"
~isPartOf:"The journal of computational finance"
~subject:"Interest rate swaps"
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Yield curve
Interest rate swaps
Interest rate derivative
8
Zinsderivat
8
Zinsstruktur
8
Option pricing theory
4
Optionspreistheorie
4
Swap
4
Estimation
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Interest rate
3
Monte Carlo simulation
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Schätzung
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Derivat
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Aggregated connectedness
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Anleihe
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Arbitrage Pricing
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Bermudan products
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Bond
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Bond markets
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Conditional connectedness
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Covered interest rate parity
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Credit rating
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Cross-currency basis swaps
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Currency derivative
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Dynamic connectedness
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EU countries
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EU-Staaten
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Bishwal, Jaya Prakasah Narayan
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David-Pur, Lior
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Desmettre, Sascha
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Eisl, Alexander
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Jankowitsch, Rainer
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Joshi, Mark S.
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Korn, Ralf
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Lopes, Sara Dutra
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Rosenboim, Mosi
1
Shapir, Offer Moshe
1
Stenfors, Alexis
1
Subrahmanyam, Marti G.
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Algorithmic finance
European financial management : the journal of the European Financial Management Association
Journal of international financial markets, institutions & money
The journal of computational finance
International journal of financial engineering
9
International journal of theoretical and applied finance
8
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International review of financial analysis
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Journal of mathematical finance
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SpringerLink / Bücher
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The journal of futures markets
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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Finance and stochastics
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Financial markets and portfolio management
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International Journal of Financial Markets and Derivatives : IJFMD
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Journal of economic dynamics & control
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Journal of economic issues
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New methods in fixed income modeling : fixed income modeling
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Research paper series / Swiss Finance Institute
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of corporate accounting & finance
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Advances in Pacific Basin business, economics and finance
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
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1
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan
- In:
Algorithmic finance
10
(
2023
)
1/2
,
pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
Saved in:
2
Cross-currency basis swap spreads and corporate dollar funding
David-Pur, Lior
;
Galil, Koresh
;
Rosenboim, Mosi
; …
- In:
Journal of international financial markets, …
85
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014433286
Saved in:
3
Independent policy, dependent outcomes : a game of cross-country dominoes across European yield curves
Stenfors, Alexis
;
Chatziantoniou, Ioannis
;
Gabauer, David
- In:
Journal of international financial markets, …
81
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013533377
Saved in:
4
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
5
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
6
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
7
The manipulation potential of Libor and Euribor
Eisl, Alexander
;
Jankowitsch, Rainer
;
Subrahmanyam, Marti G.
- In:
European financial management : the journal of the …
23
(
2017
)
4
,
pp. 604-647
Persistent link: https://www.econbiz.de/10011770824
Saved in:
8
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
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