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~isPartOf:"Journal of financial economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~language:"eng"
~subject:"Zinsderivat"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Zinsstrukturmodell"
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Zinsderivat
Yield curve
184
Zinsstruktur
184
Theorie
110
Theory
110
Risikoprämie
43
Risk premium
43
Option pricing theory
41
Optionspreistheorie
41
CAPM
33
Credit risk
32
Kreditrisiko
32
Estimation
30
Schätzung
30
Volatility
25
Volatilität
25
Capital income
21
Kapitaleinkommen
21
USA
21
United States
21
Interest rate derivative
17
Stochastic process
16
Stochastischer Prozess
16
Corporate bond
14
Derivat
14
Derivative
14
Term structure
14
Unternehmensanleihe
14
Swap
13
Bond
12
Interest rate
12
Risiko
12
Risk
12
Zins
12
Anleihe
11
Geldpolitik
11
Monetary policy
11
Public bond
11
Öffentliche Anleihe
11
Option trading
9
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Article
17
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Aufsatz in Zeitschrift
Article in journal
17
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
Working Paper
5
Language
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English
Author
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Amin, Kaushik I.
1
Bakshi, Gurdip S.
1
Cotton, Peter
1
Crosby, John
1
Eberlein, Ernst
1
Feldhütter, Peter
1
Filipović, Damir
1
Fouque, Jean-Pierre
1
Galluccio, S.
1
Gao, Xiaohui
1
Grbac, Zorana
1
Gupta, Anurag
1
Hansen, Jorge W.
1
Huang, Z.
1
Jacobs, Kris
1
Karoui, Lotfi
1
Keller‐Ressel, Martin
1
Kim, Don H.
1
Klingler, Sven
1
Kunitomo, Naoto
1
Lando, David
1
Leippold, Markus
1
Li, Libo
1
Ly, J.-M.
1
Morton, Andrew J.
1
Papanicolaou, George
1
Papapantoleon, Antonis
1
Ritchken, Peter H.
1
Rutkowski, Marek
1
Sankarasubramanian, L.
1
Scaillet, Olivier
1
Sircar, Ronnie
1
Slinko, Irina
1
Strømberg, Jacob
1
Subrahmanyam, Marti G.
1
Syrstad, Olav
1
Takahashi, Akihiko
1
Teichmann, Josef
1
Trolle, Anders B.
1
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Journal of financial economics
Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
International journal of theoretical and applied finance
26
The journal of computational finance
14
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
Journal of banking & finance
12
The journal of futures markets
12
Applied mathematical finance
9
International journal of financial engineering
9
The journal of finance : the journal of the American Finance Association
9
The review of financial studies
9
Finance and stochastics
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
International review of financial analysis
6
Review of derivatives research
6
Advances in futures and options research : a research annual
5
Risks : open access journal
5
Economics letters
4
European journal of operational research : EJOR
4
Journal of financial and quantitative analysis : JFQA
4
Journal of international financial markets, institutions & money
4
Journal of international money and finance
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Asia-Pacific financial markets
3
Journal of economic dynamics & control
3
Research in finance
3
Advances in Pacific Basin financial markets
2
Economic notes : economic review of Banca Monte dei Paschi di Siena
2
European financial management : the journal of the European Financial Management Association
2
Financial engineering and the Japanese markets
2
Financial markets and portfolio management
2
International Journal of Financial Markets and Derivatives : IJFMD
2
International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic issues
2
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ECONIS (ZBW)
17
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1
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
2
Life after LIBOR
Klingler, Sven
;
Syrstad, Olav
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 783-801
Persistent link: https://www.econbiz.de/10013259828
Saved in:
3
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:
4
Admissibility of generic market models of forward swap rates
Li, Libo
;
Rutkowski, Marek
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 728-761
Persistent link: https://www.econbiz.de/10011308170
Saved in:
5
Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus
;
Strømberg, Jacob
- In:
Journal of financial economics
111
(
2014
)
1
,
pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
Saved in:
6
The term structure of interbank risk
Filipović, Damir
;
Trolle, Anders B.
- In:
Journal of financial economics
109
(
2013
)
3
,
pp. 707-733
Persistent link: https://www.econbiz.de/10010205349
Saved in:
7
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:
8
Rating based Lévy Libor model
Eberlein, Ernst
;
Grbac, Zorana
- In:
Mathematical finance : an international journal of …
23
(
2013
)
4
,
pp. 591-626
Persistent link: https://www.econbiz.de/10010187684
Saved in:
9
On finite dimensional realizations of two-country intereste rate models
Slinko, Irina
- In:
Mathematical finance : an international journal of …
20
(
2010
)
1
,
pp. 117-143
Persistent link: https://www.econbiz.de/10003955690
Saved in:
10
Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
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