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~isPartOf:"International journal of theoretical and applied finance"
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Interest rate derivative
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International journal of theoretical and applied finance
The journal of futures markets
139
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of computational finance
25
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
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Finance and stochastics
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Journal of international financial markets, institutions & money
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The review of financial studies
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Applied financial economics
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Journal of financial economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Review of derivatives research
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Selected writings on futures markets : explorations in financial futures markets
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Europäische Hochschulschriften / 5
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Interest rate modelling after the financial crisis
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International review of financial analysis
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
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Report / Erasmus Center for Financial Research, Erasmus University
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Economics letters
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Journal of mathematical finance
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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The European journal of finance
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Working papers / The Levy Economics Institute
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Applied economics
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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ECONIS (ZBW)
36
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1
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:
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
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
4
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
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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