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~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of financial economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~language:"eng"
~subject:"Interest rate derivative"
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Search: subject_exact:"Zinsstrukturmodell"
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Interest rate derivative
Yield curve
234
Zinsstruktur
234
Theorie
134
Theory
134
Option pricing theory
52
Optionspreistheorie
52
Risikoprämie
49
Risk premium
49
Volatility
37
Volatilität
37
Credit risk
36
Kreditrisiko
36
CAPM
35
Estimation
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Schätzung
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Stochastic process
31
Stochastischer Prozess
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Zinsderivat
26
Capital income
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USA
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United States
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Derivat
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Derivative
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Interest rate
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Zins
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Bond
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Anleihe
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Portfolio selection
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Portfolio-Management
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Swap
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Term structure
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Corporate bond
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Unternehmensanleihe
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Risiko
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Risk
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Öffentliche Anleihe
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Schlögl, Erik
3
Chiarella, Carl
2
Fanelli, Viviana
2
Alfeus, Mesias
1
Amin, Kaushik I.
1
Bakshi, Gurdip S.
1
Beyna, Ingo
1
Chen, Homing
1
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1
Feldhütter, Peter
1
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1
Fouque, Jean-Pierre
1
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1
Gao, Xiaohui
1
Grasselli, Martino
1
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1
Gupta, Anurag
1
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1
Hu, Cheng-feng
1
Huang, Z.
1
Jacobs, Kris
1
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1
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Karoui, Lotfi
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Keller‐Ressel, Martin
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Ly, J.-M.
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Morton, Andrew J.
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Papapantoleon, Antonis
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European journal of operational research : EJOR
Journal of financial economics
Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
International review of financial analysis
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Discussion paper / B
5
Risks : open access journal
5
SFB 649 discussion paper
5
Economics letters
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
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Journal of international money and finance
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Working papers / The Levy Economics Institute
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Annual review of financial economics
3
Applied economics
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Applied financial economics letters
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Asia-Pacific financial markets
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Bonn Econ Discussion Papers / BGSE
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IMF working papers
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Journal of economic dynamics & control
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ECONIS (ZBW)
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Life after LIBOR
Klingler, Sven
;
Syrstad, Olav
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
Saved in:
3
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
4
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
5
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
6
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
7
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
8
Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana
- In:
European journal of operational research : EJOR
263
(
2017
)
2
,
pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
Saved in:
9
A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana
- In:
European journal of operational research : EJOR
249
(
2016
)
1
,
pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
Saved in:
10
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
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