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~isPartOf:"Applied mathematical finance"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
~subject:"Option pricing theory"
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Kreditrisiko
Option pricing theory
Interest rate derivative
49
Zinsderivat
49
Yield curve
35
Zinsstruktur
35
Optionspreistheorie
26
Theorie
20
Theory
20
Derivat
17
Derivative
17
Stochastic process
13
Stochastischer Prozess
13
Swap
12
Interest rate
11
Volatility
11
Volatilität
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Zins
11
Credit risk
4
Estimation
4
Schätzung
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interest rate derivatives
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Currency derivative
3
Euromarkets
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Euromarkt
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LIBOR market model
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Risk premium
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Simulation
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Australien
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English
27
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Eberlein, Ernst
2
Pirjol, Dan
2
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Andresen, Arne
1
Avellaneda, Marco
1
Baviera, Roberto
1
Belomestny, Denis
1
Benth, Fred Espen
1
Biagini, Francesca
1
Bregman, Julia
1
Brigo, Damiano
1
Börger, Reik H.
1
Costabile, Massimo
1
Criens, David
1
Crépey, Stéphane
1
Epstein, D.
1
Genaro, Alan de
1
Gerboud, Rémi
1
Gerhart, Christoph
1
Grbac, Zorana
1
Hanton, Pierre
1
Henrard, Marc
1
Hess, Markus
1
Heys, Jan van
1
Hui, Cho H.
1
Jaimungal, Sebastian
1
Jain, Shashi
1
Joshi, Mark S.
1
Kaisajuntti, Linus
1
Karlsson, Patrik
1
Kerkhof, Franciscus Lambertus Johannes
1
Koekebakker, Steen
1
Kolodko, Anastasia
1
Lo, C. F.
1
Lütkebohmert-Holtz, Eva
1
Massabo, Ivar
1
McWalter, Thomas A.
1
Meyer-Brandis, Thilo
1
Michel, Christophe
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Applied mathematical finance
International journal of theoretical and applied finance
The journal of computational finance
19
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
Review of derivatives research
10
Finance and stochastics
9
International journal of financial engineering
9
Journal of banking & finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
7
Quantitative finance
6
Advances in futures and options research : a research annual
5
Gabler Edition Wissenschaft
5
Journal of financial economics
5
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
5
The journal of fixed income
5
The journal of futures markets
5
European journal of operational research : EJOR
4
Journal of mathematical finance
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Risks : open access journal
4
Série de trabalhos para discussão
4
Advances in Pacific Basin financial markets
3
Applied economics
3
Financial markets and portfolio management
3
Global finance journal
3
Journal of economic dynamics & control
3
NBER working paper series
3
SSE EFI working paper series in economics and finance
3
The journal of credit risk : published quarterly by Incisive Media
3
The journal of finance : the journal of the American Finance Association
3
The review of financial studies
3
Working paper / National Bureau of Economic Research, Inc.
3
Working paper series / Federal Reserve Bank of Atlanta
3
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
3
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
Berichte des Fraunhofer ITWM
2
Bonn Econ Discussion Papers / BGSE
2
Bonn Econ Discussion Papers / Bonn Graduate School of Economics, Department of Economics, University of Bonn
2
Discussion paper / B
2
Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
27
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1
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
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:
4
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
5
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
6
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:
7
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
8
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
9
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:
10
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
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