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~isPartOf:"European financial management : the journal of the European Financial Management Association"
~isPartOf:"The journal of computational finance"
~subject:"Estimation"
~subject:"Interest rate derivative"
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Estimation
Interest rate derivative
Swap
27
Option pricing theory
13
Optionspreistheorie
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11
Kreditrisiko
11
Theorie
10
Theory
10
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Joshi, Mark S.
1
Kiesel, Rüdiger
1
Korn, Ralf
1
Liang, Qian
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Lopes, Sara Dutra
1
Lutz, Matthias
1
Rebonato, Riccardo
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Reisinger, Christoph
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European financial management : the journal of the European Financial Management Association
The journal of computational finance
International journal of theoretical and applied finance
8
Research paper series / Swiss Finance Institute
8
The journal of fixed income
8
Working papers / The Levy Economics Institute
8
International review of financial analysis
7
Journal of international financial markets, institutions & money
6
Applied mathematical finance
5
Journal of banking & finance
5
Journal of financial economics
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
The journal of futures markets
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Bank of England Working Paper
4
Review of derivatives research
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Applied financial economics
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European journal of operational research : EJOR
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Swiss Finance Institute Research Paper
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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Working paper series / Frankfurt School of Finance & Management
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Corporate risk : strategies and management
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ECONIS (ZBW)
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A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
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2
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
3
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
4
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
5
Efficient pricing of constant maturity swap spread options in a stochastic volatility LIBOR market model
Kiesel, Rüdiger
;
Lutz, Matthias
- In:
The journal of computational finance
14
(
2010/11
)
4
,
pp. 37-72
Persistent link: https://www.econbiz.de/10009241255
Saved in:
6
Linking caplets and swaptions prices in the LMM-SABR model
Rebonato, Riccardo
;
White, Richard
- In:
The journal of computational finance
13
(
2009/10
)
2
,
pp. 19-45
Persistent link: https://www.econbiz.de/10003949865
Saved in:
7
Determinants of swap spreads in a developing financial market : evidence from Finland
Suhonen, Antti
- In:
European financial management : the journal of the …
4
(
1998
)
3
,
pp. 379-399
Persistent link: https://www.econbiz.de/10001251078
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