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~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Zinsderivat"
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Zinsderivat
Option pricing theory
629
Optionspreistheorie
629
Theorie
365
Theory
365
Option trading
223
Optionsgeschäft
223
Volatility
204
Volatilität
204
Stochastic process
143
Stochastischer Prozess
143
Derivat
105
Derivative
105
Hedging
93
Yield curve
93
Zinsstruktur
93
Credit derivative
89
Kreditderivat
89
USA
86
United States
86
Credit risk
78
Kreditrisiko
78
Black-Scholes model
76
Black-Scholes-Modell
76
Interest rate derivative
64
Risikoprämie
62
Risk premium
62
Aktienoption
59
Stock option
59
Portfolio selection
57
Portfolio-Management
57
Estimation
55
Schätzung
53
CAPM
50
Börsenkurs
42
Share price
42
Capital income
40
Kapitaleinkommen
40
Swap
38
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36
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64
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64
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English
64
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Chen, Son-nan
4
Wu, Ting-pin
4
Subrahmanyam, Marti G.
3
Beliaeva, Natalia A.
2
Björk, Tomas
2
Gupta, Anurag
2
Moraleda Novo, Juan Manuel
2
Nawalkha, Sanjay K.
2
Pelsser, Antoon André Jean
2
Abrantes Metz, Rosa Maria Fontes
1
Akhigbe, Aigbe O.
1
Alexander, Carol
1
Almeida, Caio
1
Arrouy, Pierre-Edouard
1
Arvanitis, Angelo
1
Backwell, Alex
1
Barski, Michał
1
Ben-Ameur, Hatem
1
Benner, Wolfgang
1
Boumezoued, Alexandre
1
Brooks, Robert
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Chiarella, Carl
1
Chow, Edward H.
1
Chung, San-Lin
1
Cline, Brandon N.
1
Cuchiero, Christa
1
Deuskar, Prachi
1
Duyvesteyn, Johan
1
Eberlein, Ernst
1
Enders, Walter
1
Fabozzi, Frank J.
1
Flavell, Richard
1
Fontana, Claudio
1
Fouquau, Julien
1
Fricke, Christoph
1
Gallitschke, Janek
1
Gang, Shyy
1
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Finance and stochastics
Journal of banking & finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Review of derivatives research
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Europäische Hochschulschriften / 5
11
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Working paper
11
SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
9
Report / Erasmus Center for Financial Research, Erasmus University
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Quantitative finance
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
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ECONIS (ZBW)
64
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1
Expected and unexpected jumps in the overnight rate : consistent management of the libor transition
Backwell, Alex
;
Hayes, Joshua
- In:
Journal of banking & finance
145
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013538970
Saved in:
2
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
3
Barrier caps and floors under the LIBOR market model with double exponential jumps
Chang, Jui-jane
;
Chen, Son-nan
;
Wang, Chun-chao
;
Wu, …
- In:
The journal of derivatives : the official publication …
21
(
2014
)
4
,
pp. 7-30
Persistent link: https://www.econbiz.de/10010387683
Saved in:
4
The FOMC announcement returns on long-term US and German bond futures
Indriawan, Ivan
;
Jiao, Feng
;
Tse, Yiuman
- In:
Journal of banking & finance
123
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012662330
Saved in:
5
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
6
Riding the swaption curve
Duyvesteyn, Johan
;
Zwart, Gerben Jacobus de
- In:
Journal of banking & finance
59
(
2015
),
pp. 57-75
Persistent link: https://www.econbiz.de/10011544291
Saved in:
7
Pricing interest-rate derivatives with piecewise multilinear interpolations and transition parameters
Ben-Ameur, Hatem
;
Karoui, Lotfi
;
Mnif, Walid
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 82-109
Persistent link: https://www.econbiz.de/10011311415
Saved in:
8
Interest rate forecasts, state price densities and risk premium from Euribor options
Ivanova, Vesela
;
Puigvert Gutiérrez, Josep Maria
- In:
Journal of banking & finance
48
(
2014
),
pp. 210-223
Persistent link: https://www.econbiz.de/10010508142
Saved in:
9
Interest rate derivatives use in banking: Market pricing implications of cash flow hedges
Akhigbe, Aigbe O.
;
Makar, Stephen D.
;
Wang, Li
;
Whyte, …
- In:
Journal of banking & finance
86
(
2018
),
pp. 113-126
Persistent link: https://www.econbiz.de/10011962425
Saved in:
10
Interbank interest rates : funding liquidity risk and XIBOR basis spreads
Gallitschke, Janek
;
Seifried, Stefanie
;
Seifried, Frank …
- In:
Journal of banking & finance
78
(
2017
),
pp. 142-152
Persistent link: https://www.econbiz.de/10011815126
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