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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"
~person:"Joslin, Scott"
~person:"Levendorskij, Sergej Z."
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Search: subject_exact:"Zinsstrukturmodell"
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Yield curve
5
Zinsstruktur
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Theorie
4
Theory
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Option pricing theory
3
Optionspreistheorie
3
Estimation
2
Interest rate
2
Macro-finance term structure model
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Wiener-Hopf factorization
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barrier options
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credit default swaps
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parabolic inverse Fourier transform
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parabolic inverse Laplace transform
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quadratic term structure models
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Joslin, Scott
Levendorskij, Sergej Z.
Chiarella, Carl
11
Platen, Eckhard
8
Filipović, Damir
7
Schlögl, Erik
7
Nikitopoulos, Christina Sklibosios
6
Eberlein, Ernst
4
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3
Singleton, Kenneth J.
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Teichmann, Josef
3
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3
Yu, Fan
3
Bakshi, Gurdip S.
2
Björk, Tomas
2
Brace, Alan
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Chege Maina, Samuel
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Cheridito, Patrick
2
D'Amico, Stefania
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Della Corte, Pasquale
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Hsiao, Chih-ying
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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
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Annals of finance
1
International journal of theoretical and applied finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Marshall School of Business Working Paper
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
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1
Interest rate volatility, the yield curve, and the macroeconomy
Joslin, Scott
;
Konchitchki, Yaniv
- In:
Journal of financial economics
128
(
2018
)
2
,
pp. 344-362
Persistent link: https://www.econbiz.de/10011971071
Saved in:
2
Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
Saved in:
3
Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
Joslin, Scott
;
Le, Anh
;
Singleton, Kenneth J.
- In:
Journal of financial economics
109
(
2013
)
3
,
pp. 604-622
Persistent link: https://www.econbiz.de/10010205374
Saved in:
4
The eigenfunction expansion method in multi-factor quadratic term structure models
Boyarchenko, Nina
;
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
17
(
2007
)
4
,
pp. 503-539
Persistent link: https://www.econbiz.de/10003626604
Saved in:
5
Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z.
- In:
Mathematical finance : an international journal of …
15
(
2005
)
3
,
pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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