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~isPartOf:"Applied financial economics letters"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Estimation"
~subject:"Zinsstruktur"
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Search: subject_exact:"Interest rate swap"
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Estimation
Zinsstruktur
Interest rate derivative
29
Zinsderivat
29
Yield curve
16
Option pricing theory
13
Optionspreistheorie
13
Theorie
11
Theory
11
Swap
5
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4
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16
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Chen, Son-nan
4
Wu, Ting-pin
4
Arvanitis, Angelo
1
Benner, Wolfgang
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Chung, San-Lin
1
Gregory, Jonathon
1
Ho, Chai Ni
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Ito, Takayasu
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Jensen, Malene Shin
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Jortzik, Stephan
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Laurent, Jean-Paul
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Marshall, Andrew P.
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Pelsser, Antoon André Jean
1
Renò, Roberto
1
Ritchken, Peter H.
1
Sankarasubramanian, L.
1
Scott, Louis O.
1
Svenstrup, Mikkel
1
Uboldi, Adamo
1
Uhrig, Marliese
1
Wang, Chun-chao
1
Xiao, Tim
1
Zyapkov, Lyudmil
1
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Applied financial economics letters
The journal of derivatives : the official publication of the International Association of Financial Engineers
International journal of theoretical and applied finance
27
The journal of computational finance
16
The journal of futures markets
16
Journal of banking & finance
14
The journal of fixed income
14
Applied financial economics
10
Applied mathematical finance
10
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
International review of financial analysis
7
Journal of mathematical finance
7
SFB 649 discussion paper
7
Advances in futures and options research : a research annual
6
Discussion paper / B
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
5
European journal of operational research : EJOR
5
Journal of international money and finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Risks : open access journal
5
Working papers / The Levy Economics Institute
5
BIS working papers
4
CoFE discussion papers
4
Economics letters
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Annual review of financial economics
3
Applied economics
3
Asia-Pacific financial markets
3
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ECONIS (ZBW)
16
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1
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
2
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
3
An efficient lattice algorithm for the LIBOR market model
Xiao, Tim
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 25-40
Persistent link: https://www.econbiz.de/10009316814
Saved in:
4
Modifying the LMM to price constant maturity swaps
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
18
(
2010
)
2
,
pp. 20-32
Persistent link: https://www.econbiz.de/10008771479
Saved in:
5
A multi-factor cross-currency LIBOR market mode
Benner, Wolfgang
;
Zyapkov, Lyudmil
;
Jortzik, Stephan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
4
,
pp. 53-71
Persistent link: https://www.econbiz.de/10003862783
Saved in:
6
Valuation of interest rate spread options in a multifactor LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
16
(
2008/09
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10003852622
Saved in:
7
The analysis of interest rate swap spreads in Japan
Ito, Takayasu
- In:
Applied financial economics letters
3
(
2007
)
1
,
pp. 1-4
Persistent link: https://www.econbiz.de/10003540107
Saved in:
8
Determinants of UK swap spreads
Marshall, Andrew P.
;
Ho, Chai Ni
- In:
Applied financial economics letters
2
(
2006
)
5
,
pp. 305-309
Persistent link: https://www.econbiz.de/10003369892
Saved in:
9
Efficient control variates and strategies for Bermudan swaptions in a LIBOR market model
Jensen, Malene Shin
;
Svenstrup, Mikkel
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 20-33
Persistent link: https://www.econbiz.de/10003010725
Saved in:
10
On the presence of unspanned volatility in European interest rate options
Renò, Roberto
;
Uboldi, Adamo
- In:
Applied financial economics letters
1
(
2005
)
1
,
pp. 15-18
Persistent link: https://www.econbiz.de/10002550020
Saved in:
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