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~isPartOf:"Global finance journal"
~isPartOf:"The journal of computational finance"
~isPartOf:"The journal of fixed income"
~language:"eng"
~subject:"Yield curve"
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Search: subject_exact:"Finanzswap"
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Yield curve
Swap
48
Credit risk
20
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16
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15
Derivat
15
Derivative
15
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Bermudan swaptions
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Andersen, Leif
1
Bhansali, Vineer
1
Curtillet, Jean-Christophe
1
Glasserman, Paul
1
Hull, John
1
Joshi, Mark S.
1
Kiesel, Rüdiger
1
Klein, Daniel
1
Korn, Ralf
1
Liang, Qian
1
Lopes, Sara Dutra
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Lutz, Matthias
1
Merener, Nicolas
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Nikitina, Elena
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1
Rendleman, Richard J.
1
Schwarzkopf, Yonathan
1
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1
White, Alan
1
Wise, Mark B.
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1
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Global finance journal
The journal of computational finance
The journal of fixed income
International journal of theoretical and applied finance
12
Journal of banking & finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
8
International review of financial analysis
7
Research paper series / Swiss Finance Institute
6
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
5
Applied mathematical finance
4
International journal of financial engineering
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Working papers / The Levy Economics Institute
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Finance and stochastics
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HKIMR working paper
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International review of economics & finance : IREF
3
NBER Working Paper
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NBER working paper series
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Quantitative finance
3
Review of derivatives research
3
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3
The North American journal of economics and finance : a journal of financial economics studies
3
The journal of finance : the journal of the American Finance Association
3
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Applied financial economics letters
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Cambridge working papers in economics
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Journal of econometrics
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Pacific-Basin finance journal
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Research in international business and finance
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ECONIS (ZBW)
11
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1
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
Saved in:
2
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Modeling swap spreads in normal and stressed environments
Bhansali, Vineer
;
Schwarzkopf, Yonathan
;
Wise, Mark B.
- In:
The journal of fixed income
18
(
2008/09
)
4
,
pp. 5-23
Persistent link: https://www.econbiz.de/10003848027
Saved in:
8
Interpolating the term structure from par yield and swap curves
Rendleman, Richard J.
- In:
The journal of fixed income
13
(
2004
)
4
,
pp. 80-89
Persistent link: https://www.econbiz.de/10002030036
Saved in:
9
Cap and swaption approximations in Libor market models with jumps
Glasserman, Paul
;
Merener, Nicolas
- In:
The journal of computational finance
7
(
2003
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10001805437
Saved in:
10
Forward rate volatilities, swap rate volatilities, and implementation of the LIBOR market model
Hull, John
;
White, Alan
- In:
The journal of fixed income
10
(
2000
)
2
,
pp. 46-62
Persistent link: https://www.econbiz.de/10001530342
Saved in:
1
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