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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"
~subject:"Option pricing theory"
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Search: subject_exact:"Zinsstrukturmodell"
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Option pricing theory
Yield curve
210
Zinsstruktur
210
Theorie
118
Theory
118
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
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Kapitaleinkommen
22
USA
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United States
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Zinsderivat
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Derivat
18
Derivative
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Bond
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Interest rate
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Swap
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Anleihe
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Corporate bond
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Term structure
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Unternehmensanleihe
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Public bond
12
Risiko
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Risk
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Öffentliche Anleihe
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Geldpolitik
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Monetary policy
11
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47
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Chiarella, Carl
3
Levendorskij, Sergej Z.
3
Schlögl, Erik
3
Brace, Alan
2
Eberlein, Ernst
2
Fanelli, Viviana
2
Filipović, Damir
2
Musiela, Marek
2
Musti, Silvana
2
Rogers, Leonard C. G.
2
Teichmann, Josef
2
Aihara, Shin Ichi
1
Aquilina, J.
1
Bagchi, Arunabha
1
Bai, Jennie
1
Bakshi, Gurdip S.
1
Beyna, Ingo
1
Bojarčenko, Svetlana I.
1
Boyarchenko, Nina
1
Cairns, Andrew
1
Carverhill, Andrew
1
Chen, Li
1
Chen, Nan
1
Cheng, Benjamin
1
Chesney, Marc
1
Choi, Jaehyuk
1
Christoffersen, Peter F.
1
Crosby, John
1
Duffie, Darrell
1
Elliott, Robert J.
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Gao, Xiaohui
1
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1
Gibson, Rajna
1
Goldstein, Robert
1
Goldstein, Robert S.
1
Gombani, Andrea
1
Gourier, Elise
1
Grbac, Zorana
1
Hansen, Jorge W.
1
Jacobs, Kris
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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
40
Journal of banking & finance
23
The journal of computational finance
23
Applied mathematical finance
21
Finance and stochastics
18
Review of derivatives research
18
The journal of derivatives : the official publication of the International Association of Financial Engineers
18
Quantitative finance
17
The journal of fixed income
15
The journal of futures markets
14
International journal of financial engineering
13
Risks : open access journal
10
Finance research letters
9
The review of financial studies
8
Asia-Pacific financial markets
7
The European journal of finance
7
The journal of finance : the journal of the American Finance Association
7
Insurance / Mathematics & economics
6
Journal of mathematical finance
6
Research paper series / Swiss Finance Institute
6
SpringerLink / Bücher
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Discussion paper / B
5
European journal of operational research : EJOR
5
Lecture notes in economics and mathematical systems : LNEMS
5
Mathematics and financial economics
5
The North American journal of economics and finance : a journal of financial economics studies
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Working paper
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Annals of finance
4
Annals of financial economics
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Journal of economic dynamics & control
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Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
4
Springer finance
4
Série de trabalhos para discussão
4
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
4
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
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ECONIS (ZBW)
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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
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
3
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:
4
The leverage effect and the basket-index put spread
Bai, Jennie
;
Goldstein, Robert S.
;
Yang, Fan
- In:
Journal of financial economics
131
(
2019
)
1
,
pp. 186-205
Persistent link: https://www.econbiz.de/10012130889
Saved in:
5
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:
6
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:
7
Fast swaption pricing in Gaussian term structure models
Choi, Jaehyuk
;
Shin, Sungchan
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 962-982
Persistent link: https://www.econbiz.de/10011583816
Saved in:
8
Quadratic variance swap models
Filipović, Damir
;
Gourier, Elise
;
Mancini, Loriano
- In:
Journal of financial economics
119
(
2016
)
1
,
pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
Saved in:
9
A hybrid commodity and interest rate
Pilz, K. F.
;
Schlögl, Erik
-
2009
Persistent link: https://www.econbiz.de/10008662358
Saved in:
10
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
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