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~isPartOf:"Interest rate futures : concepts and issues"
~isPartOf:"The journal of computational finance"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Volatilität"
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Volatilität
Interest rate derivative
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Rebonato, Riccardo
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Interest rate futures : concepts and issues
The journal of computational finance
The journal of finance : the journal of the American Finance Association
The journal of futures markets
13
International journal of theoretical and applied finance
8
The European journal of finance
5
The journal of fixed income
5
Finance and stochastics
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Journal of banking & finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Review of derivatives research
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Discussion paper / Tinbergen Institute
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Economic modelling
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International review of financial analysis
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Advances in Pacific Basin financial markets
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Advances in investment analysis and portfolio management : a research annual
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European journal of operational research : EJOR
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IMES discussion paper series / Englische Ausgabe
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International finance
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International review of finance
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Journal of financial economics
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Journal of international financial markets, institutions & money
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Report / Erasmus Center for Financial Research, Erasmus University
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Review of futures markets
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SFB 649 discussion paper
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SSE EFI working paper series in economics and finance
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The journal of credit risk : published quarterly by Incisive Media
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The review of financial studies
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ECONIS (ZBW)
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1
Linear-rational term structure models
Filipović, Damir
;
Larsson, Martin
;
Trolle, Anders B.
- In:
The journal of finance : the journal of the American …
72
(
2017
)
2
,
pp. 655-704
Persistent link: https://www.econbiz.de/10011738502
Saved in:
2
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:
3
Extended Libor market models with stochastic volatility
Andersen, Leif B. G.
;
Brotherton-Ratcliffe, Rupert
- In:
The journal of computational finance
9
(
2005
)
1
,
pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
Saved in:
4
The link between caplet and swaption volatilities in a Brace-Gatarek-Musiela/Jamshidian framework : approximate solutions and empirical evidence
Jaeckel, Peter
;
Rebonato, Riccardo
- In:
The journal of computational finance
6
(
2003
)
4
,
pp. 41-59
Persistent link: https://www.econbiz.de/10001782185
Saved in:
5
Do bonds span the fixed income markets? : Theory and evidence for unspanned stochastic volatility
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
- In:
The journal of finance : the journal of the American …
57
(
2002
)
4
,
pp. 1685-1730
Persistent link: https://www.econbiz.de/10001696255
Saved in:
6
On the simultaneous calibration of multifactor lognormal interest rate models to Black volatilities and to the correlation matrix
Rebonato, Riccardo
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 5-27
Persistent link: https://www.econbiz.de/10001517294
Saved in:
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