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~isPartOf:"Journal of financial economics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~language:"eng"
~subject:"Interest rate derivative"
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Search: subject_exact:"Zinsstrukturmodell"
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Interest rate derivative
Yield curve
141
Zinsstruktur
141
Theorie
57
Theory
57
Risikoprämie
42
Risk premium
42
Estimation
34
Schätzung
34
CAPM
27
Credit risk
26
Kreditrisiko
26
Volatility
24
Volatilität
24
Capital income
22
Kapitaleinkommen
22
USA
20
United States
20
Option pricing theory
14
Optionspreistheorie
14
Stochastic process
14
Stochastischer Prozess
14
Term structure
14
Corporate bond
13
Derivat
13
Derivative
13
Interest rate
13
Unternehmensanleihe
13
Zins
13
Zinsderivat
13
Bond
12
Public bond
12
Öffentliche Anleihe
12
Anleihe
11
Geldpolitik
11
Monetary policy
11
Risiko
11
Risk
11
Government securities
8
Portfolio selection
8
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Article
8
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5
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Schlögl, Erik
3
Chiarella, Carl
2
Alfeus, Mesias
1
Amin, Kaushik I.
1
Bakshi, Gurdip S.
1
Beyna, Ingo
1
Crosby, John
1
Feldhütter, Peter
1
Filipović, Damir
1
Gao, Xiaohui
1
Grasselli, Martino
1
Gupta, Anurag
1
Hansen, Jorge W.
1
Jacobs, Kris
1
Kang, Boda
1
Karlsson, Patrik
1
Karoui, Lotfi
1
Klingler, Sven
1
Lando, David
1
Leippold, Markus
1
Morton, Andrew J.
1
Nikitopoulos, Christina Sklibosios
1
Pilz, Kay Frederik
1
Strømberg, Jacob
1
Subrahmanyam, Marti G.
1
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Journal of financial economics
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 futures markets
14
The journal of derivatives : the official publication of the International Association of Financial Engineers
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
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
The review of financial studies
9
Finance and stochastics
8
Interest rate modelling after the financial crisis
8
Quantitative finance
8
Applied financial economics
7
Journal of mathematical 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)
13
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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
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:
8
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:
9
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
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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