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~isPartOf:"Finance and economics discussion series"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of financial economics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Chiarella, Carl"
~subject:"Derivat"
~subject:"Yield curve"
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Search: subject_exact:"Zinsstrukturmodell"
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Derivat
Yield curve
Zinsstruktur
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Stochastischer Prozess
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1988-2004
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Chiarella, Carl
Kim, Don H.
10
Schlögl, Erik
8
Wei, Min
8
Wright, Jonathan H.
8
Platen, Eckhard
7
Zhou, Hao
7
Bekaert, Geert
6
D'Amico, Stefania
6
Engstrom, Eric
6
Filipović, Damir
6
Nikitopoulos, Christina Sklibosios
6
Downing, Chris
4
Durham, J. Benson
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Gilchrist, Simon
4
Kiley, Michael T.
4
Longstaff, Francis A.
4
Zakrajšek, Egon
4
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3
Bansal, Ravi
3
Beechey, Meredith Jane
3
Binsbergen, Jules H. van
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Bomfim, Antúlio N.
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Chernov, Mikhail
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Demiralp, Selva
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Fontana, Claudio
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Goldstein, Robert S.
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King, Thomas B.
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Koijen, Ralph S. J.
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Li, Canlin
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López-Salido, José David
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Orphanides, Athanasios
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Tauchen, George Eugene
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Xing, Yuhang
3
Yang, Fan
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Andreasen, Martin Møller
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Finance and economics discussion series
Finance and stochastics
Journal of financial economics
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
8
Asia-Pacific financial markets
3
Research paper / Quantitative Finance Research Group, University of Technology Sydney
3
International journal of theoretical and applied finance
2
The European journal of finance
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Quantitative Finance Research Centre Research Paper
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Research Paper Number: 317, Quantitative Finance Research Centre, University of Technology, Sydney
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Review of derivatives research
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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
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2
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
To, Thuy-duong
-
2011
Persistent link: https://www.econbiz.de/10009564612
Saved in:
3
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
Saved in:
4
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
Saved in:
5
A survey of non-linear methods for no-arbitrage bond pricing
Chiarella, Carl
;
Hsiao, Chih-ying
;
Ming Xi Huang
-
2010
Persistent link: https://www.econbiz.de/10008663098
Saved in:
6
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
7
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
8
The multifactor nature of the volatility of the eurodollar futures market
Chiarella, Carl
;
Tô, Thuy-duong
-
2005
Persistent link: https://www.econbiz.de/10002721727
Saved in:
9
The volatility structure of the fixed income market under the HJM framework : a nonlinear filtering approach
Chiarella, Carl
;
Hung, Hing
;
Tô, Thuy-duong
-
2005
Persistent link: https://www.econbiz.de/10002721773
Saved in:
10
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
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