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Search: subject:"Swaps"
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Swap
23
Option pricing theory
15
Optionspreistheorie
15
Volatility
11
Volatilität
11
Theorie
10
Theory
10
Derivat
7
Derivative
7
Interest rate derivative
5
Stochastic process
5
Stochastischer Prozess
5
Zinsderivat
5
Yield curve
4
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4
Analysis of variance
3
Credit risk
3
Hedging
3
Kreditrisiko
3
Varianzanalyse
3
Credit derivative
2
Kreditderivat
2
Lévy processes
2
Option trading
2
Optionsgeschäft
2
Variance swap
2
3/2-volatility model
1
Bermudan Swaptions
1
Bundling strategy
1
CAPM
1
Computer network
1
Computernetz
1
Discrete variance swap
1
Euromarkets
1
Euromarkt
1
Experiment
1
Financial crisis
1
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Heston model
1
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23
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Eberlein, Ernst
2
Rutkowski, Marek
2
Aly, Sidi Mohamed Ould
1
Andersen, Leif B. G.
1
Andreasen, Jesper Fredborg
1
Baldeaux, Jan
1
Bee, Marco
1
Benth, Fred Espen
1
Bernard, Carole
1
Börger, Reik H.
1
Chan, Leunglung
1
Chung, San-lin
1
Cui, Zhenyu
1
Dempster, Michael A. H.
1
Drimus, Gabriel
1
Elliott, Robert J.
1
Forde, Martin
1
Gerhart, Christoph
1
Goard, Joanna
1
Grasselli, M. R.
1
Groth, Martin
1
Henrard, Marc
1
Heys, Jan van
1
Hinnerich, Mia
1
Hurd, T. R.
1
Hutton, J. P.
1
Jacquier, Antoine
1
Jain, Shashi
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Karlsson, Patrik
1
Kufakunesu, Rodwell
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Kwok, Yue-Kuen
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Liinev, J.
1
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1
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1
Scotti, S.
1
Siu, Tak Kuen
1
Toscano, G.
1
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Applied mathematical finance
International journal of theoretical and applied finance
48
Journal of banking & finance
35
IMF Staff Country Reports
31
IMF Working Papers
31
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
International review of financial analysis
26
NBER working paper series
24
The journal of fixed income
24
Journal of financial economics
23
The journal of financial crises
22
The journal of computational finance
21
The journal of futures markets
21
MPRA Paper
20
Finance research letters
19
Journal of international financial markets, institutions & money
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
Working Paper
19
Working paper / National Bureau of Economic Research, Inc.
19
Review of derivatives research
18
International Journal of Theoretical and Applied Finance (IJTAF)
17
NBER Working Paper
17
Research paper series / Swiss Finance Institute
16
The European journal of finance
16
Discussion paper
15
European journal of operational research : EJOR
15
International review of economics & finance : IREF
15
Journal of international money and finance
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
Discussion papers / CEPR
14
Finance and stochastics
14
Staff working papers / Bank of England
14
The journal of finance : the journal of the American Finance Association
14
Applied economics
13
Bundesbank Discussion Paper
13
Journal of empirical finance
13
ECB Working Paper
12
Frankfurt School - Working Paper Series
12
Economics letters
11
European financial management : the journal of the European Financial Management Association
11
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ECONIS (ZBW)
23
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1
Pricing exotic discrete variance
swaps
under the 3/2-stochastic volatility models
Yuen, Chi Hung
;
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Applied mathematical finance
22
(
2015
)
5/6
,
pp. 421-449
Persistent link: https://www.econbiz.de/10011490606
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
Is the variance swap rate affine in the spot variance? : evidence from S&P500 data
Mancino, M. E.
;
Scotti, S.
;
Toscano, G.
- In:
Applied mathematical finance
27
(
2020
)
4
,
pp. 288-316
Persistent link: https://www.econbiz.de/10012425324
Saved in:
4
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:
5
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:
6
Prices and asymptotics for discrete variance
swaps
Bernard, Carole
;
Cui, Zhenyu
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 140-173
Persistent link: https://www.econbiz.de/10010352006
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
Pricing equity
swaps
in an economy with jumps
Hinnerich, Mia
- In:
Applied mathematical finance
20
(
2013
)
1/2
,
pp. 94-117
Persistent link: https://www.econbiz.de/10009737176
Saved in:
9
Options on realized variance in Log-OU models
Drimus, Gabriel
- In:
Applied mathematical finance
19
(
2012
)
5/6
,
pp. 477-494
Persistent link: https://www.econbiz.de/10009710936
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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