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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Credit"
~subject:"Currency derivative"
~subject:"Insolvency"
~subject:"Zinsstruktur"
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Credit
Currency derivative
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Zinsstruktur
Swap
43
Option pricing theory
23
Optionspreistheorie
23
Volatility
21
Volatilität
21
Derivat
20
Derivative
20
Theorie
17
Theory
17
Credit derivative
13
Credit risk
13
Kreditderivat
13
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counterparty risk
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variance swaps
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volatility swaps
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Abid, Fathi
1
Almeida, Caio
1
Baviera, Roberto
1
Biagini, Francesca
1
Blaskowitz, Olilver
1
Brigo, Damiano
1
Capriotti, Luca
1
Chen, An
1
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Frey, Rüdiger
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1
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1
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Kerkhof, Franciscus Lambertus Johannes
1
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1
Lee, Jacky
1
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1
Michielon, Matteo
1
Naifar, Nader
1
O'Donoghue, Brendan
1
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Van Appel, Jacques
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International journal of theoretical and applied finance
Journal of banking & finance
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
International review of financial analysis
9
Journal of financial economics
9
The journal of fixed income
9
Journal of international financial markets, institutions & money
8
Research paper series / Swiss Finance Institute
8
The journal of computational finance
7
Journal of financial and quantitative analysis : JFQA
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Review of derivatives research
6
The journal of futures markets
6
Applied mathematical finance
5
Discussion papers / CEPR
5
International review of economics & finance : IREF
5
Staff working papers / Bank of England
5
Swiss Finance Institute Research Paper
5
The journal of finance : the journal of the American Finance Association
5
The journal of financial crises
5
Working papers / The Levy Economics Institute
5
Finance research letters
4
HKIMR working paper
4
International journal of financial engineering
4
Journal of economic dynamics & control
4
Quantitative finance
4
Review of finance : journal of the European Finance Association
4
The North American journal of economics and finance : a journal of financial economics studies
4
The journal of credit risk : published quarterly by Incisive Media
4
Working paper / National Bureau of Economic Research, Inc.
4
Working papers / Bank for International Settlements
4
Applied economics letters
3
Finance and economics discussion series
3
Finance and stochastics
3
International journal of finance & economics : IJFE
3
Journal of international money and finance
3
NBER Working Paper
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NBER working paper series
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Pacific-Basin finance journal
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ECONIS (ZBW)
18
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1
From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012652634
Saved in:
2
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
3
General analysis of long-term interest rates
Biagini, Francesca
;
Gnoatto, Alessandro
;
Härtel, Maximilian
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012270881
Saved in:
4
Credit default swaps in two-dimensional models with various informations flows
Gapeev, Pavel V.
;
Jeanblanc, Monique
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012270908
Saved in:
5
New model for pricing quanto credit default swaps
Itkin, A.
;
Shcherbakov, V.
;
Veygman, A.
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
Saved in:
6
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012153037
Saved in:
7
Efficient long-dated swaption volatility approximation in the forward-LIBOR model
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892565
Saved in:
8
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
9
Contagion effects and collateralized credit value adjustments for credit default swaps
Frey, Rüdiger
;
Rösler, Lars
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010498864
Saved in:
10
Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long
;
Ehrhardt, Matthias
;
Günther, Michael
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
Saved in:
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