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subject:"Zinsstruktur"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Review of derivatives research"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~isPartOf:"Working paper"
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Search: subject_exact:"Constant maturity swap"
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Zinsstruktur
Interest rate derivative
43
Zinsderivat
43
Yield curve
25
Theorie
19
Theory
19
Option pricing theory
15
Optionspreistheorie
15
CAPM
11
USA
11
United States
11
Volatility
9
Volatilität
9
Derivat
5
Derivative
5
Interest rate
5
Zins
5
Estimation
4
Schätzung
4
Swap
4
Ankündigungseffekt
2
Announcement effect
2
Arbitrage
2
Currency derivative
2
Efficient market hypothesis
2
Effizienzmarkthypothese
2
Government securities
2
Interest rate derivatives
2
Markov chain
2
Markov-Kette
2
Option trading
2
Optionsgeschäft
2
Portfolio selection
2
Portfolio-Management
2
Staatspapier
2
Stochastic process
2
Stochastischer Prozess
2
Swaptions
2
Welt
2
World
2
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Article
19
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6
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English
25
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Chiarella, Carl
2
Christiansen, Charlotte
2
Collin-Dufresne, Pierre
2
Johannes, Michael
2
Strunk Hansen, Charlotte
2
Aase Nielsen, Jørgen
1
Boenawan, Kiekie
1
Bühler, Wolfgang
1
Chung, Tsz-kin
1
Costabile, Massimo
1
Duffie, Darrell
1
Eghbalzadeh, Ramin
1
Filipović, Damir
1
Gaillardetz, Patrice
1
Godin, Frédéric
1
Goldstein, Robert S.
1
Huang, Li-Jhang
1
Hui, Cho H.
1
Jarrow, Robert A.
1
Jensen, Bjarne Astrup
1
Jensen, Malene Shin
1
Kwon, Oh Kang
1
Larsson, Martin
1
Li, Haitao
1
Lo, Chi-fai
1
Løchte Jørgensen, Peter
1
Massabo, Ivar
1
Mikkelsen, Peter
1
Miltersen, Kristian R.
1
Monticini, Andrea
1
Nikitopoulos, Christina Sklibosios
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1
Pietersz, Raoul
1
Ritchken, Peter H.
1
Russo, Emilio
1
Sandmann, Klaus
1
Singleton, Kenneth J.
1
Solnik, Bruno
1
Sondermann, Dieter
1
Sundaresan, Suresh M.
1
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Asia-Pacific financial markets
Review of derivatives research
The journal of finance : the journal of the American Finance Association
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
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 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
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Bonn Econ Discussion Papers / BGSE
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Gabler Edition Wissenschaft
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IMF working papers
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ECONIS (ZBW)
25
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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
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:
3
The effect of underreporting on LIBOR rates
Monticini, Andrea
;
Thornton, Daniel L.
-
2013
Persistent link: https://www.econbiz.de/10009721441
Saved in:
4
Linear-rational term structure models
Filipović, Damir
;
Larsson, Martin
;
Trolle, Anders B.
- In:
The journal of finance : the journal of the American …
72
(
2017
)
2
,
pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Saved in:
5
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:
6
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:
7
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:
8
Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.
;
Li, Haitao
;
Zhao, Feng
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
Saved in:
9
The impact of collateralization on swap rates
Johannes, Michael
;
Sundaresan, Suresh M.
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 383-410
Persistent link: https://www.econbiz.de/10003425912
Saved in:
10
The statistical and economic role of jumps in continuous-time interest rate models
Johannes, Michael
- In:
The journal of finance : the journal of the American …
59
(
2004
)
1
,
pp. 227-260
Persistent link: https://www.econbiz.de/10001932051
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