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~isPartOf:"Applied mathematical finance"
~isPartOf:"Quantitative finance"
~subject:"Credit"
~subject:"Insolvency"
~subject:"Zinsstruktur"
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Credit
Insolvency
Zinsstruktur
Swap
31
Option pricing theory
18
Optionspreistheorie
18
Theorie
14
Theory
14
Volatility
13
Volatilität
13
Derivat
11
Derivative
11
Credit risk
7
Interest rate derivative
7
Kreditrisiko
7
Yield curve
7
Zinsderivat
7
Hedging
5
Stochastic process
5
Stochastischer Prozess
5
Credit derivative
4
Kreditderivat
4
Option trading
4
Optionsgeschäft
4
Analysis of variance
3
Varianzanalyse
3
Insolvenz
2
Lévy processes
2
Risikomanagement
2
Risikoprämie
2
Risk management
2
Risk premium
2
Variance swap
2
Variance swaps
2
3/2-volatility model
1
ARCH model
1
ARCH-Modell
1
American swaption
1
Applications to default risk
1
Bank lending
1
Basis swaps
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9
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Anagnostou, I.
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Bormetti, Giacomo
1
Brigo, Damiano
1
Börger, Reik H.
1
Chung, San-lin
1
Eberlein, Ernst
1
Filipović, Damir
1
Francischello, Marco
1
Garlaschelli, D.
1
Gerhart, Christoph
1
Hagan, Patrick S.
1
Heys, Jan van
1
Kandhai, D.
1
Kitapbayev, Yerkin
1
Lesniewski, Andrew
1
Lütkebohmert-Holtz, Eva
1
Pallavicini, Andrea
1
Skoufis, G. E.
1
Squartini, T.
1
Woodward, Diana E.
1
Yamazaki, Akira
1
Yang, Hsiao-fen
1
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Applied mathematical finance
Quantitative finance
International journal of theoretical and applied finance
18
Journal of banking & finance
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
International review of financial analysis
9
Journal of financial economics
8
Research paper series / Swiss Finance Institute
8
The journal of fixed income
8
The journal of computational finance
7
Journal of financial and quantitative analysis : JFQA
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Review of derivatives research
6
The journal of futures markets
6
Journal of international financial markets, institutions & money
5
The journal of finance : the journal of the American Finance Association
5
Discussion papers / CEPR
4
Finance research letters
4
HKIMR working paper
4
International journal of financial engineering
4
Journal of economic dynamics & control
4
Review of finance : journal of the European Finance Association
4
The North American journal of economics and finance : a journal of financial economics studies
4
The journal of credit risk : published quarterly by Incisive Media
4
Working paper / National Bureau of Economic Research, Inc.
4
Working papers / The Levy Economics Institute
4
Finance and economics discussion series
3
Finance and stochastics
3
International review of economics & finance : IREF
3
NBER Working Paper
3
NBER working paper series
3
Staff working papers / Bank of England
3
Swiss Finance Institute Research Paper
3
The journal of corporate finance : contracting, governance and organization
3
Working papers / Bank for International Settlements
3
Applied financial economics letters
2
Cambridge working papers in economics
2
Cambridge-INET working papers
2
Credit risk models and management
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ECONIS (ZBW)
9
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1
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
2
CMS spread options
Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
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
On the American swaption in the linear-rational framework
Filipović, Damir
;
Kitapbayev, Yerkin
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
Saved in:
5
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
6
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:
7
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:
8
Pricing quanto equity swaps in a stochastic interest rate economy
Chung, San-lin
;
Yang, Hsiao-fen
- In:
Applied mathematical finance
12
(
2005
)
2
,
pp. 121-146
Persistent link: https://www.econbiz.de/10002989911
Saved in:
9
Volatility skews and extensions of the libor market model
Andersen, Leif B. G.
;
Andreasen, Jesper Fredborg
- In:
Applied mathematical finance
7
(
2000
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10001546115
Saved in:
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