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~isPartOf:"Applied mathematical finance"
~subject:"Kreditrisiko"
~subject:"Theory"
~type_genre:"Article in journal"
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Kreditrisiko
Theory
Derivat
79
Derivative
79
Option pricing theory
61
Optionspreistheorie
61
Stochastic process
24
Stochastischer Prozess
24
Theorie
23
Volatility
23
Volatilität
23
Option trading
16
Optionsgeschäft
16
Hedging
14
Yield curve
10
Zinsstruktur
10
Black-Scholes model
7
Black-Scholes-Modell
7
Credit risk
7
Interest rate derivative
7
Swap
7
Weather
7
Wetter
7
Zinsderivat
7
Incomplete market
6
Simulation
6
Unvollkommener Markt
6
Interest rate
5
Lévy processes
5
Portfolio selection
5
Portfolio-Management
5
Risiko
5
Risk
5
Zins
5
Energiemarkt
4
Energy market
4
Monte Carlo simulation
4
Monte-Carlo-Simulation
4
Risikoprämie
4
Risk premium
4
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28
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Article in journal
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28
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English
28
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Benth, Fred Espen
2
Howison, Sam
2
Rutkowski, Marek
2
Sircar, Kaushik Ronnie
2
Alaton, Peter
1
Avellaneda, Marco
1
Bajeux-Besnainou, Isabelle
1
Baldeaux, Jan
1
Barth, Andrea
1
Becherer, Dirk
1
Biegler-König, Richard
1
Bouchaud, Jean-Philippe
1
Chiu, Chun-Yuan
1
Cooper, Ian
1
Djehiche, Boualem
1
Ekeland, Lars
1
Goard, Joanna
1
Grasselli, M. R.
1
Hauge, Ragnar
1
Hoencamp, J. H.
1
Hurd, T. R.
1
Jain, Shashi
1
Kandhai, B. D.
1
Karlsson, Patrik
1
Kercheval, Alec
1
Kort, J. P. de
1
Lamper, David
1
Li, Thomas Nanfeng
1
Mai, Jan-Frederik
1
Martin, Marcel
1
Morini, Massimo
1
Nielsen, Bjørn Fredrik
1
Nieuwenhuis, J. H.
1
Ninomiya, S.
1
Olivares, Pablo
1
Oosterlee, Cornelis Willebrordus
1
Papageorgiou, E.
1
Papageorgiou, Evan
1
Papanicolaou, Andrew
1
Portait, Roland
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Applied mathematical finance
The journal of futures markets
131
International journal of theoretical and applied finance
82
Journal of banking & finance
82
Advances in futures and options research : a research annual
33
The journal of finance : the journal of the American Finance Association
33
Finance and stochastics
32
Journal of financial and quantitative analysis : JFQA
32
Mathematical finance : an international journal of mathematics, statistics and financial theory
30
The review of financial studies
29
Journal of financial economics
28
Review of derivatives research
27
The journal of fixed income
27
Economics letters
25
Energy economics
25
The journal of credit risk : published quarterly by Incisive Media
25
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
International review of financial analysis
24
European journal of operational research : EJOR
22
International review of economics & finance : IREF
21
Journal of economic dynamics & control
21
The European journal of finance
21
Finance research letters
20
The journal of computational finance
19
The North American journal of economics and finance : a journal of financial economics studies
18
Applied financial economics
15
Die Bank
13
Finance : revue de l'Association Française de Finance
13
Journal of financial intermediation
13
Quantitative finance
13
Economic notes : economic review of Banca Monte dei Paschi di Siena
12
Insurance / Mathematics & economics
12
Journal of mathematical finance
12
Journal of risk management in financial institutions
12
Review of quantitative finance and accounting
12
The journal of business : B
12
The journal of financial market infrastructures
12
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
12
Journal of empirical finance
11
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
11
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ECONIS (ZBW)
28
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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
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
3
Hedging strategies in commodity markets : rolling intrinsic and delta hedging for virtual power plants
Biegler-König, Richard
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 550-582
Persistent link: https://www.econbiz.de/10012516171
Saved in:
4
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:
5
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:
6
A multivariate default model with spread and event risk
Mai, Jan-Frederik
;
Olivares, Pablo
;
Schenk, Steffen
; …
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 51-83
Persistent link: https://www.econbiz.de/10010351857
Saved in:
7
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:
8
Hedging of spatial temperature risk with market-traded futures
Barth, Andrea
;
Benth, Fred Espen
;
Potthoff, Jürgen
- In:
Applied mathematical finance
18
(
2011
)
1/2
,
pp. 93-117
Persistent link: https://www.econbiz.de/10009155488
Saved in:
9
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:
10
Optimal weak static hedging of equity and credit risk using derivatives
Becherer, Dirk
;
Ward, Ian
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003975242
Saved in:
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