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~isPartOf:"Applied mathematical finance"
~isPartOf:"Finance research letters"
~isPartOf:"Review of derivatives research"
~subject:"Interest rate derivative"
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Search: subject:"Derivat <Wertpapier>"
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Interest rate derivative
Derivat
213
Derivative
213
Option pricing theory
122
Optionspreistheorie
122
Volatility
66
Volatilität
66
Theorie
55
Theory
55
Option trading
46
Optionsgeschäft
46
Stochastic process
45
Stochastischer Prozess
45
Hedging
38
Credit risk
28
Kreditrisiko
28
Yield curve
22
Zinsstruktur
22
Risk
19
Risiko
18
Swap
18
Portfolio selection
16
Portfolio-Management
16
Black-Scholes model
15
Black-Scholes-Modell
15
Commodity derivative
14
Rohstoffderivat
14
Risikomanagement
13
Risk management
13
CAPM
12
Zinsderivat
12
Credit derivative
10
Kreditderivat
10
Derivatives
9
Estimation
9
Incomplete market
9
Risikoprämie
9
Risk premium
9
Schätzung
9
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12
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Azzone, Michele
1
Baviera, Roberto
1
Börger, Reik H.
1
Costabile, Massimo
1
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1
Eghbalzadeh, Ramin
1
Gaillardetz, Patrice
1
Godin, Frédéric
1
Heys, Jan van
1
Hoencamp, J. H.
1
Huang, Li-Jhang
1
Jain, Shashi
1
Kaisajuntti, Linus
1
Kandhai, B. D.
1
Karlsson, Patrik
1
Kort, J. P. de
1
Mashele, Hopolang Phillip
1
Massabo, Ivar
1
Michel, Christophe
1
Oosterlee, Cornelis Willebrordus
1
Pirjol, Dan
1
Reutenauer, Victor
1
Rudmann, Marcus
1
Russo, Emilio
1
Sonono, Masimba Energy
1
Talay, Denis
1
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Applied mathematical finance
Finance research letters
Review of derivatives research
The journal of futures markets
13
International journal of theoretical and applied finance
10
The journal of computational finance
8
Quantitative finance
6
Journal of banking & finance
4
Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
4
Report / Erasmus Center for Financial Research, Erasmus University
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Annual review of financial economics
3
Europäische Hochschulschriften / 5
3
International review of financial analysis
3
Journal of financial economics
3
Journal of mathematical finance
3
SAFE working paper
3
SpringerLink / Bücher
3
The European journal of finance
3
The handbook of fixed income securities
3
The journal of credit risk : published quarterly by Incisive Media
3
Applied economics
2
Bank- und finanzwirtschaftliche Forschungen
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European journal of operational research : EJOR
2
Finance and economics discussion series
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Finance and stochastics
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Financial engineering explained
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Finanzmarkt und Portfolio-Management
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Harvard Business School Finance Case
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International Journal of Financial Markets and Derivatives : IJFMD
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International journal of financial engineering
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Lecture notes in economics and mathematical systems : LNEMS
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Springer Texts in Business and Economics
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ECONIS (ZBW)
12
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
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:
3
Synthetic forwards and cost of funding in the equity derivative market
Azzone, Michele
;
Baviera, Roberto
- In:
Finance research letters
41
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013336152
Saved in:
4
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:
5
Hybrid Lévy models : design and computational aspects
Eberlein, Ernst
;
Rudmann, Marcus
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 533-556
Persistent link: https://www.econbiz.de/10012129180
Saved in:
6
Liquidity costs : a new numerical methodology and an empirical study
Michel, Christophe
;
Reutenauer, Victor
;
Talay, Denis
; …
- In:
Applied mathematical finance
23
(
2016
)
1/2
,
pp. 57-79
Persistent link: https://www.econbiz.de/10011546989
Saved in:
7
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Saved in:
8
Eurodollar futures pricing in log-normal interest rate models in discrete time
Pirjol, Dan
- In:
Applied mathematical finance
23
(
2016
)
5/6
,
pp. 445-464
Persistent link: https://www.econbiz.de/10011704268
Saved in:
9
Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy
;
Mashele, Hopolang Phillip
- In:
Finance research letters
19
(
2016
),
pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
Saved in:
10
A parametric n-dimensional Markov-functional model in the terminal measure
Kaisajuntti, Linus
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 327-358
Persistent link: https://www.econbiz.de/10010187661
Saved in:
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