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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~subject:"Volatility"
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Search: subject_exact:"Zinsforward"
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Volatility
Interest rate derivative
35
Zinsderivat
35
Yield curve
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Zinsstruktur
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Theorie
20
Theory
20
Option pricing theory
11
Optionspreistheorie
11
USA
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CAPM
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Swap
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Volatilität
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Stochastic process
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Stochastischer Prozess
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Schätzung
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Credit risk
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Currency derivative
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Kreditrisiko
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Ankündigungseffekt
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Derivat
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Derivative
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Government securities
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Kreditwürdigkeit
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Libor
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Portfolio selection
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Portfolio-Management
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Zins
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1965-1999
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English
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Collin-Dufresne, Pierre
1
Cotton, Peter
1
Da Foncesca, José
1
Filipović, Damir
1
Fouque, Jean-Pierre
1
Gnoatto, Alessandro
1
Goldstein, Robert S.
1
Grasselli, Martino
1
Keller‐Ressel, Martin
1
Kim, Don H.
1
Larsson, Martin
1
Papanicolaou, George
1
Papapantoleon, Antonis
1
Ritchken, Peter H.
1
Sankarasubramanian, L.
1
Sircar, Ronnie
1
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1
Trolle, Anders B.
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Journal of economic dynamics & control
Mathematical finance : an international journal of mathematics, statistics and financial theory
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
4
Journal of banking & finance
4
Review of derivatives research
4
The journal of computational finance
4
Applied mathematical finance
3
Discussion paper / Tinbergen Institute
3
Economic modelling
3
International review of financial analysis
3
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
Research paper series / Swiss Finance Institute
3
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
3
Advances in Pacific Basin financial markets
2
Advances in investment analysis and portfolio management : a research annual
2
Applied financial economics
2
Applied financial economics letters
2
CoFE discussion papers
2
Discussion paper / Tinbergen Institute / Tinbergen Institute
2
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
2
European journal of operational research : EJOR
2
IMES discussion paper series / Englische Ausgabe
2
International finance
2
International review of finance
2
Journal of empirical finance
2
Journal of financial economics
2
Journal of international financial markets, institutions & money
2
Quantitative finance
2
Report / Erasmus Center for Financial Research, Erasmus University
2
Review of futures markets
2
SFB 649 discussion paper
2
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)
7
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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
Swaption pricing in affine and other models
Kim, Don H.
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 790-820
Persistent link: https://www.econbiz.de/10011308168
Saved in:
3
The affine LIBOR models
Keller‐Ressel, Martin
;
Papapantoleon, Antonis
; …
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 627-658
Persistent link: https://www.econbiz.de/10010187682
Saved in:
4
A flexible matrix Libor model with smiles
Da Foncesca, José
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
37
(
2013
)
4
,
pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
Saved in:
5
Stochastic volatility corrections for interest rate derivatives
Cotton, Peter
;
Fouque, Jean-Pierre
;
Papanicolaou, George
; …
- In:
Mathematical finance : an international journal of …
14
(
2004
)
2
,
pp. 173-200
Persistent link: https://www.econbiz.de/10002032686
Saved in:
6
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:
7
Volatility structures of forward rates and the dynamics of the term structure
Ritchken, Peter H.
- In:
Mathematical finance : an international journal of …
5
(
1995
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10001185062
Saved in:
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