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subject:"Zinsstruktur"
~isPartOf:"Applied economics"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Review of derivatives research"
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Search: subject_exact:"Constant maturity swap"
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Zinsstruktur
Interest rate derivative
23
Zinsderivat
23
Option pricing theory
13
Optionspreistheorie
13
Yield curve
12
Theorie
10
Theory
10
Derivat
6
Derivative
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Volatility
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Volatilität
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Interest rate
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Zins
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Swap
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Arbitrage
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CAPM
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Currency derivative
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Futures
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Interest rate derivatives
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LIBOR market model
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1977-1985
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Chiarella, Carl
2
Baaquie, Belal E.
1
Backwell, Alex
1
Ben-Abdallah, Ramzi
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Breton, Michèle
1
Christiansen, Charlotte
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Chung, Tsz-kin
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Costabile, Massimo
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Du, Xin
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Eghbalzadeh, Ramin
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Gaillardetz, Patrice
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Massabo, Ivar
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Pelsser, Antoon André Jean
1
Pietersz, Raoul
1
Ruddock, Ralph
1
Russo, Emilio
1
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1
Tang, Pan
1
Wang, Ming-Chieh
1
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Applied economics
Asia-Pacific financial markets
Review of derivatives research
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of fixed income
14
The journal of futures markets
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Journal of financial economics
8
Quantitative finance
8
Applied financial economics
7
Journal of mathematical finance
7
Discussion paper / B
6
International review of financial analysis
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
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Annual review of financial economics
3
Applied financial economics letters
3
Bonn Econ Discussion Papers / BGSE
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ECONIS (ZBW)
12
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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
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
- In:
Asia-Pacific financial markets
10
(
2003
)
2/3
,
pp. 87-127
Persistent link: https://www.econbiz.de/10002762516
Saved in:
10
Implied volatility of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
- In:
Review of derivatives research
5
(
2002
)
1
,
pp. 51-80
Persistent link: https://www.econbiz.de/10001652021
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