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subject:"Zinsstruktur"
~isPartOf:"Applied mathematical finance"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Review of derivatives research"
~isPartOf:"Working paper"
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Zinsstruktur
Interest rate derivative
43
Zinsderivat
43
Yield curve
24
Option pricing theory
21
Optionspreistheorie
21
Theorie
20
Theory
20
Derivat
12
Derivative
12
Volatility
10
Volatilität
10
Interest rate
7
Stochastic process
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Stochastischer Prozess
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Swap
7
Zins
7
CAPM
5
Interest rate derivatives
4
USA
3
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3
Arbitrage
2
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Currency derivative
2
Efficient market hypothesis
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Option trading
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Optionsgeschäft
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Währungsderivat
2
interest rate derivatives
2
Accounting valuation
1
Anleihe
1
Arbitrage Pricing
1
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1
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Chiarella, Carl
2
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2
Costabile, Massimo
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Massabo, Ivar
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Russo, Emilio
2
Strunk Hansen, Charlotte
2
Aase Nielsen, Jørgen
1
Andersen, Leif B. G.
1
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1
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1
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1
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1
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1
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1
Gerhart, Christoph
1
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1
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1
Hoencamp, J. H.
1
Huang, Li-Jhang
1
Hui, Cho H.
1
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1
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1
Pietersz, Raoul
1
Pirjol, Dan
1
Svenstrup, Mikkel
1
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Thornton, Daniel L.
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Applied mathematical finance
Asia-Pacific financial markets
Review of derivatives research
Working paper
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
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 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
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Risks : open access journal
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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
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / The Levy Economics Institute
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Annual review of financial economics
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Applied economics
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Applied financial economics letters
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Bonn Econ Discussion Papers / BGSE
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ECONIS (ZBW)
24
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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
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:
3
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
4
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:
5
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
6
The effect of underreporting on LIBOR rates
Monticini, Andrea
;
Thornton, Daniel L.
-
2013
Persistent link: https://www.econbiz.de/10009721441
Saved in:
7
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
8
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:
9
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
10
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:
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