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~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Review of derivatives research"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~isPartOf:"The journal of futures markets"
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Interest rate derivative
175
Zinsderivat
175
USA
100
United States
96
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56
Öffentliche Anleihe
56
Theorie
51
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51
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34
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Ritchken, Peter H.
6
Chance, Don M.
5
Gay, Gerald D.
5
Hegde, Shantaram P.
4
Koch, Timothy W.
4
Kolb, Robert W.
4
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3
Bhattacharya, Anand K.
3
Hein, Scott E.
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Kawaller, Ira G.
3
Ma, Christopher K.
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MacDonald, S. Scott
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Castelino, Mark G.
2
Chen, Ren-Raw
2
Chen, Son-nan
2
Cole, C. Steven
2
Collin-Dufresne, Pierre
2
Das, Sanjiv R.
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Krehbiel, Timothy L.
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Lee, Jae-ha
2
Lekkos, Ilias
2
Li, Haitao
2
Lioui, Abraham
2
Livingston, Miles
2
Marcus, Alan J.
2
Milas, Costas
2
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2
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Asia Pacific Futures Research Symposium <13, 2003, Schanghai>
1
International Conference on Derivatives and Risk Management <2003, Schanghai>
1
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Journal of economic dynamics & control
Review of derivatives research
The journal of finance : the journal of the American Finance Association
The journal of futures markets
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
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16
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15
Journal of international financial markets, institutions & money
15
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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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Selected writings on futures markets : explorations in financial futures markets
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Interest rate modelling after the financial crisis
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International review of financial analysis
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Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
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ECONIS (ZBW)
175
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175
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1
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
2
Hedging securities and Silicon Valley Bank idiosyncrasies
Kim, Raymond
- In:
The journal of futures markets
44
(
2024
)
4
,
pp. 653-672
Persistent link: https://www.econbiz.de/10014536665
Saved in:
3
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
4
A monetary policy-based explanation of swap spreads in China
Fan, Longzhen
;
Hou, Xin
;
Sun, Qian
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1645-1667
Persistent link: https://www.econbiz.de/10014432922
Saved in:
5
Interest rate swaps : a comparison of compounded daily versus discrete reference rates
Jarrow, Robert A.
;
Li, Siguang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014266351
Saved in:
6
Forecasting swap rate volatility with information from swaptions
Liu, Xiaoxi
;
Xie, Jinming
- In:
The journal of futures markets
43
(
2023
)
4
,
pp. 455-479
Persistent link: https://www.econbiz.de/10014293114
Saved in:
7
A Skellam market model for loan prime rate options
Chen, Zhanyu
;
Zhang, Kai
;
Zhao, Hongbiao
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10012817951
Saved in:
8
The information in global interest rate futures contracts
Brooks, Robert
;
Cline, Brandon N.
;
Teterin, Pavel
;
You, Yu
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1135-1166
Persistent link: https://www.econbiz.de/10013287935
Saved in:
9
The impact of high speed quoting on execution risk dynamics : evidence from interest rate futures markets
Nie, Jing
;
Penen Malagon, Juliana
;
Williams, Julian
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1434-1465
Persistent link: https://www.econbiz.de/10013287987
Saved in:
10
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
- In:
Journal of economic dynamics & control
114
(
2020
),
pp. 1-42
Persistent link: https://www.econbiz.de/10012502563
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