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~isPartOf:"Applied financial economics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Risk premium"
~subject:"Volatility"
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Risk premium
Volatility
Interest rate derivative
21
Zinsderivat
21
Yield curve
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Zinsstruktur
12
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6
Zins
6
Derivat
5
Derivative
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Option pricing theory
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Optionspreistheorie
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Schätzung
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Stochastic process
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Swap
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basis
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liquidity risk
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swap market
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1979-1998
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Chiarella, Carl
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Karlsson, Patrik
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Nikitopoulos, Christina Sklibosios
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Novales, Alfonso
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Pilz, Kay Frederik
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Schlögl, Erik
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Applied financial economics
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
The journal of futures markets
14
International journal of theoretical and applied finance
9
Journal of banking & finance
6
The journal of fixed income
6
International review of financial analysis
5
Journal of financial economics
5
The European journal of finance
5
Finance and stochastics
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Journal of international financial markets, institutions & money
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Review of derivatives research
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The journal of computational finance
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Discussion paper / Tinbergen Institute
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Economic modelling
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Research paper series / Swiss Finance Institute
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Review of futures markets
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Advances in Pacific Basin financial markets
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Advances in investment analysis and portfolio management : a research annual
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Applied financial economics letters
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European journal of operational research : EJOR
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Global finance journal
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IMES discussion paper series / Englische Ausgabe
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International review of finance
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Journal of empirical finance
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Report / Erasmus Center for Financial Research, Erasmus University
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SSE EFI working paper series in economics and finance
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ECONIS (ZBW)
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1
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
2
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
3
Volatility transmission of swap spreads among the US, Japan and the UK : a cross-correlation function approach
Toyoshima, Yuki
;
Hamori, Shigeyuki
- In:
Applied financial economics
22
(
2012
)
10/12
,
pp. 849-862
Persistent link: https://www.econbiz.de/10009625006
Saved in:
4
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
5
The information content of interest rate futures and time-varying risk premia
Staikouras, Sotiris K.
- In:
Applied financial economics
14
(
2004
)
11
,
pp. 761-771
Persistent link: https://www.econbiz.de/10002121581
Saved in:
6
Volatility transmission across the term structure of swap markets : international evidence
Abad, Pilar
;
Novales, Alfonso
- In:
Applied financial economics
14
(
2004
)
14
,
pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
Saved in:
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