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~isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of financial engineering"
~subject:"Swap"
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Swap
Derivat
110
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110
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101
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47
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47
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45
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Jain, Shashi
2
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Oosterlee, Cornelis Willebrordus
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Aly, Sidi Mohamed Ould
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Applied mathematical finance
International journal of financial engineering
International journal of theoretical and applied finance
24
International review of financial analysis
14
The journal of fixed income
11
The journal of futures markets
10
Journal of financial economics
9
Journal of international financial markets, institutions & money
9
International review of economics & finance : IREF
8
Review of derivatives research
8
Working papers / The Levy Economics Institute
8
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Staff working papers / Bank of England
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The journal of computational finance
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The journal of financial crises
7
Applied economics letters
6
Bank of England Working Paper
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The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Economics letters
5
Energy economics
5
European journal of operational research : EJOR
5
Finance research letters
5
Journal of economic dynamics & control
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Quantitative finance
5
The European journal of finance
5
The North American journal of economics and finance : a journal of financial economics studies
5
The journal of investment compliance
5
Vahlens Kurzlehrbücher
5
Wiley finance series
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Working papers / Bank for International Settlements
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4
HKIMR working paper
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Insurance / Mathematics & economics
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Research paper series / Swiss Finance Institute
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Revue d'économie financière : revue trimestrielle de l'Association Europe finances régulations
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
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1
Covered interest parity in cross-currency swap bases and demand for US treasuries
Hui, Cho H.
;
Lo, Chi-Fai
;
Fung, Chin-To
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602952
Saved in:
2
A multiple curve Lévy swap market model
Eberlein, Ernst
;
Gerhart, Christoph
; …
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 396-421
Persistent link: https://www.econbiz.de/10012501623
Saved in:
3
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:
4
A general framework for the benchmark pricing in a fully collateralized market
Fuji, Masaaki
;
Takahashi, Akihiko
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10011587747
Saved in:
5
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
Karlsson, Patrik
;
Jain, Shashi
;
Oosterlee, Cornelis …
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011532753
Saved in:
6
Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping
;
Elliott, Robert J.
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
Saved in:
7
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Saved in:
8
Calibration of the Libor market model using correlations implied by CMS spread options
Börger, Reik H.
;
Heys, Jan van
- In:
Applied mathematical finance
17
(
2010
)
5/6
,
pp. 453-469
Persistent link: https://www.econbiz.de/10008797251
Saved in:
9
Exponential Lévy models extended by a jump to default
Yamazaki, Akira
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 211-228
Persistent link: https://www.econbiz.de/10010187668
Saved in:
10
A time-dependent variance model for pricing variance and volatility swaps
Goard, Joanna
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 51-70
Persistent link: https://www.econbiz.de/10009155489
Saved in:
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