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~isPartOf:"International journal of theoretical and applied finance"
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Swap
43
Option pricing theory
25
Optionspreistheorie
25
Volatility
23
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23
Derivat
20
Derivative
20
Theorie
19
Theory
19
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credit default swaps
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variance swaps
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counterparty risk
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48
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Brigo, Damiano
2
Fukasawa, Masaaki
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Levendorskij, Sergej Z.
2
Michielon, Matteo
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Rebonato, Riccardo
2
Abid, Fathi
1
Almeida, Caio
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Baviera, Roberto
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Gerboud, Rémi
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International journal of theoretical and applied finance
Journal of banking & finance
35
IMF Staff Country Reports
31
IMF Working Papers
31
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
International review of financial analysis
26
NBER working paper series
24
The journal of fixed income
24
Applied mathematical finance
23
Journal of financial economics
23
The journal of financial crises
22
The journal of computational finance
21
The journal of futures markets
21
MPRA Paper
20
Finance research letters
19
Journal of international financial markets, institutions & money
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
19
Working Paper
19
Working paper / National Bureau of Economic Research, Inc.
19
Review of derivatives research
18
International Journal of Theoretical and Applied Finance (IJTAF)
17
NBER Working Paper
17
Research paper series / Swiss Finance Institute
16
The European journal of finance
16
Discussion paper
15
European journal of operational research : EJOR
15
International review of economics & finance : IREF
15
Journal of international money and finance
15
Management science : journal of the Institute for Operations Research and the Management Sciences
15
Discussion papers / CEPR
14
Finance and stochastics
14
Staff working papers / Bank of England
14
The journal of finance : the journal of the American Finance Association
14
Applied economics
13
Bundesbank Discussion Paper
13
Journal of empirical finance
13
ECB Working Paper
12
Frankfurt School - Working Paper Series
12
Economics letters
11
European financial management : the journal of the European Financial Management Association
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ECONIS (ZBW)
48
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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
Variance and volatility
swaps
under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
3
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:
4
Covariance and correlation
swaps
for financial markets with Markov-modulated volatilities
Salvi, Giovanni
;
Sviščuk, Anatolij
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010363946
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
Multi-currency credit default
swaps
Brigo, Damiano
;
Pede, Nicola
;
Petrelli, Andrea
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012030890
Saved in:
7
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:
8
The VIX and future information
Hess, Markus
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
Saved in:
9
Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
Saved in:
10
Cash-settled swaptions : a new pricing model
Pietersz, Raoul
;
Sengers, Frank
;
Michielon, Matteo
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012284596
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