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subject:"Yield curve"
~isPartOf:"Advances in futures and options research : a research annual"
~isPartOf:"International journal of financial engineering"
~isPartOf:"Journal of international financial markets, institutions & money"
~subject:"Derivat"
~subject:"Staatspapier"
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Search: subject_exact:"Interest rate futures"
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Yield curve
Derivat
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Interest rate derivative
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Zinsderivat
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Mi, Yanhui
2
Zhong, Yangfan
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Advances in futures and options research : a research annual
International journal of financial engineering
Journal of international financial markets, institutions & money
The journal of futures markets
35
International journal of theoretical and applied finance
27
The journal of computational finance
17
The journal of fixed income
16
Journal of banking & finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
Applied mathematical finance
12
The journal of finance : the journal of the American Finance Association
10
The review of financial studies
10
Finance and stochastics
9
Journal of financial economics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Interest rate modelling after the financial crisis
8
International review of financial analysis
8
Quantitative finance
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Applied financial economics
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Journal of mathematical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Discussion paper / B
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Review of derivatives research
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
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Economics letters
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Europäische Hochschulschriften / 5
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Risks : open access journal
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SFB 649 discussion paper
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SpringerLink / Bücher
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Advances in Pacific Basin financial markets
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Applied economics
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European journal of operational research : EJOR
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Journal of international money and finance
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Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
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NBER working paper series
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ECONIS (ZBW)
23
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1
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:
2
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:
3
LIBOR market model with multiplicative basis
Zhong, Yangfan
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011923001
Saved in:
4
Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis
Zhong, Yangfan
;
Mi, Yanhui
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10011923038
Saved in:
5
Pricing for options in a mixed fractional Hull-White interest rate model
Pan, Jian
;
Zhou, Xiangying
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011673121
Saved in:
6
The effects of negative interest rates on the estimation of option sensitivities : the impact of switching from a log-normal to a normal model
Giribone, Pier Giuseppe
;
Ligato, Simone
;
Mulas, Martina
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011673134
Saved in:
7
Asset pricing under general collateralization
Mi, Yanhui
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011777842
Saved in:
8
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
9
Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping
;
Elliott, Robert J.
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
Saved in:
10
Efficient and exact simulation of the Gaussian affine interest rate models
Ostrovski, Vladimir
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10011577107
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