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subject:"Zinsstruktur"
~isPartOf:"Applied economics"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Review of derivatives research"
~isPartOf:"Working paper"
~subject:"Optionspreistheorie"
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Search: subject_exact:"Constant maturity swap"
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Zinsstruktur
Optionspreistheorie
Interest rate derivative
34
Zinsderivat
34
Yield curve
18
Option pricing theory
15
Theorie
15
Theory
15
Volatility
8
Volatilität
8
Derivat
7
Derivative
7
Interest rate
6
Zins
6
CAPM
5
USA
4
United States
4
Arbitrage
3
Swap
3
Currency derivative
2
Efficient market hypothesis
2
Effizienzmarkthypothese
2
Futures
2
Interest rate derivatives
2
LIBOR market model
2
Markov chain
2
Markov-Kette
2
Option trading
2
Optionsgeschäft
2
Public bond
2
Währungsderivat
2
Öffentliche Anleihe
2
1977-1985
1
2005-2009
1
Accounting valuation
1
Anleihe
1
Arbitrage Pricing
1
Arbitrage pricing
1
Arbitrage-free pricing model
1
Bilanzielle Bewertung
1
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Article
18
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6
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18
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6
Graue Literatur
6
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6
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English
24
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Chiarella, Carl
2
Christiansen, Charlotte
2
Ritchken, Peter H.
2
Strunk Hansen, Charlotte
2
Aase Nielsen, Jørgen
1
Baaquie, Belal E.
1
Backwell, Alex
1
Ben-Abdallah, Ramzi
1
Breton, Michèle
1
Burnetas, Apostolos N.
1
Chuang, Iyuan
1
Chung, Tsz-kin
1
Clewlow, Les
1
Costabile, Massimo
1
Das, Sanjiv R.
1
Du, Xin
1
Eghbalzadeh, Ramin
1
Gaillardetz, Patrice
1
Godin, Frédéric
1
Hodges, Stewart D.
1
Huang, Li-Jhang
1
Hui, Cho H.
1
Jensen, Bjarne Astrup
1
Jensen, Malene Shin
1
Kwon, Oh Kang
1
Li, Haitao
1
Lo, Chi-fai
1
Løchte Jørgensen, Peter
1
Massabo, Ivar
1
Mikkelsen, Peter
1
Monticini, Andrea
1
Nikitopoulos, Christina Sklibosios
1
Nunes, Jo~ao Pedro Vidal
1
Pelsser, Antoon André Jean
1
Pietersz, Raoul
1
Ruddock, Ralph
1
Russo, Emilio
1
Svenstrup, Mikkel
1
Søndergaard Rasmussen, Nicki
1
Tang, Pan
1
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Applied economics
Asia-Pacific financial markets
Review of derivatives research
Working paper
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
Finance and stochastics
13
Applied mathematical finance
12
Journal of banking & finance
12
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
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
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)
24
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1
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
2
Throwing away a billion yuan, real or rand : the cost of sub-optimal hedging in high interest-rate environments
Backwell, Alex
;
Ruddock, Ralph
- In:
Applied economics
55
(
2023
)
18
,
pp. 2060-2069
Persistent link: https://www.econbiz.de/10014294859
Saved in:
3
Pricing cross-currency interest rate swaps under the Levy market model
Wang, Ming-Chieh
;
Huang, Li-Jhang
- In:
Review of derivatives research
22
(
2019
)
2
,
pp. 329-355
Persistent link: https://www.econbiz.de/10012311817
Saved in:
4
The effect of underreporting on LIBOR rates
Monticini, Andrea
;
Thornton, Daniel L.
-
2013
Persistent link: https://www.econbiz.de/10009721441
Saved in:
5
An ex-post analysis of the CME Group's solution to the 5-year gap issue
Ben-Abdallah, Ramzi
;
Breton, Michèle
- In:
Applied economics
49
(
2017
)
60
,
pp. 5992-6002
Persistent link: https://www.econbiz.de/10011845891
Saved in:
6
Linearized Hamiltonian of the LIBOR market model : analytical and empirical results
Tang, Pan
;
Baaquie, Belal E.
;
Du, Xin
;
Zhang, Ying
- In:
Applied economics
48
(
2016
)
10/12
,
pp. 878-891
Persistent link: https://www.econbiz.de/10011432758
Saved in:
7
Using interest rate derivative prices to estimate LIBOR-OIS spread dynamics and systemic funding liquidity shock probabilities
Hui, Cho H.
;
Chung, Tsz-kin
;
Lo, Chi-fai
- In:
Asia-Pacific financial markets
20
(
2013
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10009750729
Saved in:
8
Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Ze-To, Samuel Yau Man
- In:
Applied economics
44
(
2012
)
19/21
,
pp. 2729-2741
Persistent link: https://www.econbiz.de/10009546636
Saved in:
9
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
Saved in:
10
A comparison of single factor Markov-functional and multi factor market models
Pietersz, Raoul
;
Pelsser, Antoon André Jean
- In:
Review of derivatives research
13
(
2010
)
3
,
pp. 245-272
Persistent link: https://www.econbiz.de/10008695888
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