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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Kreditrisiko"
~subject:"Option pricing theory"
~subject:"Theory"
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Kreditrisiko
Option pricing theory
Theory
Interest rate derivative
33
Zinsderivat
33
Yield curve
26
Zinsstruktur
26
Optionspreistheorie
17
Theorie
14
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International journal of theoretical and applied finance
The journal of futures markets
37
The journal of computational finance
23
Journal of banking & finance
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
The journal of fixed income
18
Advances in futures and options research : a research annual
17
Finance and stochastics
15
Applied mathematical finance
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Review of derivatives research
12
Review of futures markets
10
International journal of financial engineering
9
SSE EFI working paper series in economics and finance
9
The review of financial studies
9
The journal of finance : the journal of the American Finance Association
8
Europäische Hochschulschriften / 5
7
Journal of economic dynamics & control
7
Journal of financial and quantitative analysis : JFQA
7
Journal of financial economics
7
Working paper
7
Discussion paper / B
6
Journal of mathematical finance
6
Quantitative finance
6
Report / Erasmus Center for Financial Research, Erasmus University
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
SFB 649 discussion paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Discussion paper / Tinbergen Institute
5
European journal of operational research : EJOR
5
Finance : revue de l'Association Française de Finance
5
Gabler Edition Wissenschaft
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NBER working paper series
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Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
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Risks : open access journal
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The European journal of finance
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Working paper / National Bureau of Economic Research, Inc.
5
Working paper series / Federal Reserve Bank of Atlanta
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Applied economics
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Economics letters
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ECONIS (ZBW)
28
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1
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:
2
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
3
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:
4
An arithmetic pure-jump multi-curve interest rate model
Hess, Markus
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012183228
Saved in:
5
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:
6
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
7
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
8
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
9
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca
;
Bregman, Julia
;
Meyer-Brandis, Thilo
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Saved in:
10
The multi-curve potential model
Nguyen, The Anh
;
Seifried, Frank Thomas
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011404390
Saved in:
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