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type_genre:"Arbeitspapier"
~person:"Gouriéroux, Christian"
~person:"Joshi, Mark S."
~person:"Meldrum, Andrew"
~subject:"Yield curve"
~subject:"regime-switching"
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Search: subject_exact:"Internationale Zinsdifferenz"
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Yield curve
regime-switching
Zinsstruktur
43
Theorie
33
Theory
33
Anleihe
8
Bond
8
Interest rate derivative
6
Low-interest-rate policy
6
Niedrigzinspolitik
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Zinsderivat
6
Capital income
5
Estimation
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Option pricing theory
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Optionspreistheorie
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United States
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Derivat
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3
Zero-Bond
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Öffentliche Anleihe
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43
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43
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Gouriéroux, Christian
Joshi, Mark S.
Meldrum, Andrew
Rudebusch, Glenn D.
50
Christensen, Jens H. E.
44
Akram, Tanweer
27
Favero, Carlo A.
27
Krippner, Leo
25
Diebold, Francis X.
23
Gollier, Christian
23
Chiarella, Carl
22
Kaminska, Iryna
21
Chernov, Mikhail
20
Thornton, Daniel L.
20
Wright, Jonathan H.
20
Afonso, António
18
Filipović, Damir
18
Bekaert, Geert
17
Caporale, Guglielmo Maria
17
Hördahl, Peter
17
Monfort, Alain
17
Bauer, Michael D.
16
Carriero, Andrea
16
Bacchetta, Philippe
15
Kim, Don H.
15
Mönch, Emanuel
15
Renne, Jean-Paul
15
Sarno, Lucio
15
Van Wincoop, Eric
15
Swanson, Eric T.
14
Vayanos, Dimitri
14
Andreasen, Martin Møller
13
Campbell, John Y.
13
Lemke, Wolfgang
13
Schlögl, Erik
13
Svensson, Lars E. O.
13
Wei, Min
13
Binsbergen, Jules H. van
12
D'Amico, Stefania
12
Moreira, Ajax
12
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Staff working papers / Bank of England
6
Finance and economics discussion series
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Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
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ECONIS (ZBW)
43
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Fast Monte-Carlo Greeks for financial products with discontinuous pay-offs
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806613
Saved in:
22
Monte Carlo market Greeks in the displaced diffusion LIBOR market model
Joshi, Mark S.
;
Kwon, Oh Kang
-
2010
Persistent link: https://www.econbiz.de/10008806615
Saved in:
23
Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806621
Saved in:
24
Comparing discretisations of the libor market model in the spot measure
Beveridge, Christopher
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797790
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25
Smooth simultaneous calibration of the LMM to caplets and coterminal swaptions
Ametrano, Ferdinando M.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003797794
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26
New and robust drift approximations for the Libor market model
Joshi, Mark S.
(
contributor
);
Stacey, Alan
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297300
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27
Achieving decorrelation and speed simultaneously in the Libor market model
Joshi, Mark S.
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003297310
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28
A global model of international yield curves : no-arbitrage term structure approach
Kaminska, Iryna
;
Meldrum, Andrew
;
Smith, James
-
2011
Persistent link: https://www.econbiz.de/10009156787
Saved in:
29
A term structure model with level factor cannot be realistic and arbitrage free
Dubec, Simon
;
Gouriéroux, Christian
-
2010
Persistent link: https://www.econbiz.de/10009406003
Saved in:
30
An analysis of the ultra long-term yields
Dubecq, Simon
;
Gouriéroux, Christian
-
2010
Persistent link: https://www.econbiz.de/10009406547
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