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~isPartOf:"Applied mathematical finance"
~subject:"Interest rate derivative"
~subject:"Kreditrisiko"
~subject:"Wetter"
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Interest rate derivative
Kreditrisiko
Wetter
Derivat
79
Derivative
79
Option pricing theory
67
Optionspreistheorie
67
Theorie
32
Theory
32
Stochastic process
30
Stochastischer Prozess
30
Volatility
30
Volatilität
30
Option trading
17
Optionsgeschäft
17
Yield curve
17
Zinsstruktur
17
Zinsderivat
16
Hedging
15
Swap
10
Black-Scholes model
8
Black-Scholes-Modell
8
Credit risk
7
Portfolio selection
7
Portfolio-Management
7
Simulation
7
Weather
7
Commodity derivative
6
Incomplete market
6
Interest rate
6
Lévy processes
6
Rohstoffderivat
6
Unvollkommener Markt
6
Zins
6
Energiemarkt
5
Energy market
5
Risiko
5
Risikoprämie
5
Risk
5
Risk premium
5
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8
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1
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Article
29
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29
Aufsatz in Zeitschrift
29
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English
29
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Benth, Fred Espen
4
Eberlein, Ernst
2
Sircar, Kaushik Ronnie
2
Alaton, Peter
1
Alexandridis, A.
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Barth, Andrea
1
Becherer, Dirk
1
Bhar, Ramaprasad
1
Börger, Reik H.
1
Chiarella, Carl
1
Chiu, Chun-Yuan
1
Costabile, Massimo
1
D'Aspremont, A.
1
Djehiche, Boualem
1
Gerhart, Christoph
1
Heys, Jan van
1
Hoencamp, J. H.
1
Jain, Shashi
1
Kaisajuntti, Linus
1
Kandhai, B. D.
1
Karlsson, Patrik
1
Kawai, Atsushi
1
Kercheval, Alec
1
Kort, J. P. de
1
Leobacher, Gunther
1
Lopes, Sara Dutra
1
Lütkebohmert-Holtz, Eva
1
Mai, Jan-Frederik
1
Massabo, Ivar
1
Michel, Christophe
1
Ngare, Philip
1
Olivares, Pablo
1
Oosterlee, Cornelis Willebrordus
1
Papageorgiou, E.
1
Papageorgiou, Evan
1
Pircalabu, Anca
1
Pirjol, Dan
1
Potthoff, Jürgen
1
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Applied mathematical finance
The journal of futures markets
153
International journal of theoretical and applied finance
75
Journal of banking & finance
60
The journal of fixed income
46
The journal of derivatives : the official publication of the International Association of Financial Engineers
35
The journal of computational finance
33
Advances in futures and options research : a research annual
28
Review of derivatives research
28
Journal of financial economics
25
Journal of international financial markets, institutions & money
23
SFB 649 discussion paper
22
Finance and stochastics
20
The journal of credit risk : published quarterly by Incisive Media
20
The journal of finance : the journal of the American Finance Association
19
International review of financial analysis
18
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Review of futures markets
18
Applied financial economics
17
The European journal of finance
17
The review of financial studies
17
European journal of operational research : EJOR
16
Finance and economics discussion series
16
NBER working paper series
16
The North American journal of economics and finance : a journal of financial economics studies
16
International journal of financial engineering
15
SpringerLink / Bücher
15
Europäische Hochschulschriften / 5
14
Journal of mathematical finance
14
Quantitative finance
14
Agricultural finance review
13
International review of economics & finance : IREF
13
Journal of empirical finance
13
Research paper series / Swiss Finance Institute
13
Working paper / National Bureau of Economic Research, Inc.
13
Applied economics
12
Asia-Pacific financial markets
12
Discussion paper
12
Gabler Edition Wissenschaft
12
Journal of risk management in financial institutions
12
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ECONIS (ZBW)
29
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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
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:
3
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power
futures
Benth, Fred Espen
;
Pircalabu, Anca
- In:
Applied mathematical finance
25
(
2018
)
1/2
,
pp. 36-65
Persistent link: https://www.econbiz.de/10011959115
Saved in:
4
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:
5
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:
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
Real-world scenarios with negative interest rates based on the LIBOR market model
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 466-482
Persistent link: https://www.econbiz.de/10012129176
Saved in:
9
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:
10
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan
;
Kercheval, Alec
- In:
Applied mathematical finance
25
(
2018
)
5/6
,
pp. 411-433
Persistent link: https://www.econbiz.de/10012129172
Saved in:
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