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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"
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Search: subject_exact:"Zinsstrukturmodell"
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Zinsderivat
Yield curve
210
Zinsstruktur
210
Theorie
118
Theory
118
Option pricing theory
47
Optionspreistheorie
47
Risikoprämie
45
Risk premium
45
CAPM
34
Estimation
34
Schätzung
34
Volatility
34
Volatilität
34
Credit risk
32
Kreditrisiko
32
Stochastic process
26
Stochastischer Prozess
26
Capital income
22
Interest rate derivative
22
Kapitaleinkommen
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USA
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United States
22
Derivat
18
Derivative
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Bond
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Interest rate
15
Swap
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Zins
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Anleihe
14
Corporate bond
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Term structure
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Unternehmensanleihe
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Public bond
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Risiko
12
Risk
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Öffentliche Anleihe
12
Geldpolitik
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Monetary policy
11
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Schlögl, Erik
3
Chiarella, Carl
2
Alfeus, Mesias
1
Amin, Kaushik I.
1
Bakshi, Gurdip S.
1
Beyna, Ingo
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
Grasselli, Martino
1
Grbac, Zorana
1
Gupta, Anurag
1
Hansen, Jorge W.
1
Huang, Z.
1
Jacobs, Kris
1
Kang, Boda
1
Karlsson, Patrik
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
Nikitopoulos, Christina Sklibosios
1
Papanicolaou, George
1
Papapantoleon, Antonis
1
Pilz, Kay Frederik
1
Ritchken, Peter H.
1
Rutkowski, Marek
1
Sankarasubramanian, L.
1
Scaillet, Olivier
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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
15
The journal of fixed income
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
13
The journal of futures markets
13
Journal of banking & finance
12
The journal of finance : the journal of the American Finance Association
10
Applied mathematical finance
9
International journal of financial engineering
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Applied financial economics
7
Journal of mathematical finance
7
Quantitative finance
7
International review of financial analysis
6
Review of derivatives research
6
Working paper
6
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
6
Advances in futures and options research : a research annual
5
Discussion paper / B
5
Risks : open access journal
5
SFB 649 discussion paper
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
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
4
Working papers / The Levy Economics Institute
4
Annual review of financial economics
3
Applied economics
3
Applied financial economics letters
3
Asia-Pacific financial markets
3
Bonn Econ Discussion Papers / BGSE
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IMF working papers
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Journal of economic dynamics & control
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ECONIS (ZBW)
22
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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
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
4
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
5
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
6
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
7
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:
8
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:
9
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:
10
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:
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