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~isPartOf:"Finance and stochastics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Zinsderivat"
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Search: subject:"Option"
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Zinsderivat
Option pricing theory
478
Optionspreistheorie
478
Theorie
278
Theory
278
Option trading
138
Optionsgeschäft
138
Stochastic process
137
Stochastischer Prozess
137
Volatility
113
Volatilität
113
Hedging
71
Derivat
61
Derivative
61
Yield curve
60
Zinsstruktur
60
Black-Scholes model
59
Black-Scholes-Modell
59
USA
51
United States
51
Interest rate derivative
48
Portfolio selection
42
Portfolio-Management
42
Martingal
38
Martingale
38
Monte Carlo simulation
35
Monte-Carlo-Simulation
35
CAPM
32
Swap
31
Credit derivative
29
Kreditderivat
29
Credit risk
22
Estimation
22
Kreditrisiko
22
Schätzung
21
Aktienoption
20
Stock option
20
Statistical distribution
19
Statistische Verteilung
19
Transaction costs
18
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Article
40
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8
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8
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8
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English
48
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Chen, Son-nan
4
Schlögl, Erik
4
Wu, Ting-pin
4
Chiarella, Carl
3
Björk, Tomas
2
Nikitopoulos, Christina Sklibosios
2
Pelsser, Antoon André Jean
2
Alfeus, Mesias
1
Arrouy, Pierre-Edouard
1
Arvanitis, Angelo
1
Barski, Michał
1
Beliaeva, Natalia A.
1
Ben-Ameur, Hatem
1
Benner, Wolfgang
1
Beyna, Ingo
1
Boumezoued, Alexandre
1
Chang, Chuang-Chang
1
Chang, Jui-jane
1
Chen, Ren-Raw
1
Cheng, Benjamin
1
Choy, Bruce
1
Chung, San-Lin
1
Cuchiero, Christa
1
Dun, Tim
1
Eberlein, Ernst
1
Fabozzi, Frank J.
1
Fontana, Claudio
1
Glasserman, Paul
1
Gnoatto, Alessandro
1
Goldberg, Lisa
1
Goldys, Beniamin
1
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1
Grasselli, Martino
1
Gregory, Jonathon
1
Howton, Shawn D.
1
Hunt, Phil J.
1
Jamshidian, Farshid
1
Jensen, Malene Shin
1
Jortzik, Stephan
1
Kang, Boda
1
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Finance and stochastics
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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
Journal of banking & finance
24
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
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)
48
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1
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:
2
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:
3
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:
4
Hedging futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778107
Saved in:
5
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:
6
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:
7
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:
8
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
9
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:
10
Valuation of CMS spread options with nonzero strike rates in the LIBOR market model
Wu, Ting-pin
;
Chen, Son-nan
- In:
The journal of derivatives : the official publication …
19
(
2011
)
1
,
pp. 41-55
Persistent link: https://www.econbiz.de/10009316812
Saved in:
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