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~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~subject:"Interest rate derivative"
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Interest rate derivative
Yield curve
113
Zinsstruktur
113
Interest rate
57
Zins
56
Estimation
36
Schätzung
36
Theorie
29
Theory
29
Geldpolitik
27
Monetary policy
27
Public bond
22
Öffentliche Anleihe
22
Option pricing theory
21
Optionspreistheorie
21
USA
16
United States
16
Volatility
16
Volatilität
16
interest rates
16
Risikoprämie
13
Risk premium
13
Forecasting model
12
Prognoseverfahren
12
EU countries
11
EU-Staaten
11
Euro area
11
Eurozone
11
Stochastic process
11
Stochastischer Prozess
11
Zinsderivat
11
Credit risk
10
Kreditrisiko
10
Anleihe
9
Bond
9
CAPM
9
Derivat
9
Derivative
9
Erwartungsbildung
9
Expectation formation
9
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1
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11
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English
11
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Asensio, Ivan Oscar
1
Baaquie, Belal E.
1
Backwell, Alex
1
Ben-Abdallah, Ramzi
1
Bormetti, Giacomo
1
Breton, Michèle
1
Brigo, Damiano
1
Du, Xin
1
Eberlein, Ernst
1
Filipović, Damir
1
Francischello, Marco
1
Gerhart, Christoph
1
Hoencamp, J. H.
1
Jain, Surbhi
1
Kandhai, B. D.
1
Kitapbayev, Yerkin
1
Pallavicini, Andrea
1
Putyatin, Vladislav
1
Rebonato, Riccardo
1
Ruddock, Ralph
1
Shen, Yang
1
Skov, Jacob Bjerre
1
Skovmand, David
1
Tang, Pan
1
Xiong, Jie
1
Zhang, Xin
1
Zhang, Ying
1
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Applied economics
Quantitative finance
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of fixed income
14
The journal of futures markets
14
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
Applied financial economics
7
Journal of mathematical finance
7
Discussion paper / B
6
International review of financial analysis
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Review of derivatives research
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
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 financial economics letters
3
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers / BGSE
3
Gabler Edition Wissenschaft
3
IMF working papers
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ECONIS (ZBW)
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1
A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA
Hoencamp, J. H.
;
Jain, Surbhi
;
Kandhai, B. D.
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 409-432
Persistent link: https://www.econbiz.de/10014552078
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
Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre
;
Skovmand, David
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 959-978
Persistent link: https://www.econbiz.de/10014304406
Saved in:
4
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
Saved in:
5
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
6
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:
7
VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
Saved in:
8
On the American swaption in the linear-rational framework
Filipović, Damir
;
Kitapbayev, Yerkin
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
Saved in:
9
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
10
Bond and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
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