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~isPartOf:"Journal of financial economics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Derivative"
~subject:"Interest rate derivative"
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Search: subject_exact:"Zinsstrukturmodell"
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Derivative
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
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
15
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7
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7
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English
22
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Schlögl, Erik
4
Chiarella, Carl
3
Nikitopoulos, Christina Sklibosios
3
Bakshi, Gurdip S.
2
Alfeus, Mesias
1
Amin, Kaushik I.
1
Arnold, Marc
1
Aït-Sahalia, Yacine
1
Bai, Jennie
1
Beyna, Ingo
1
Chege Maina, Samuel
1
Cheng, Benjamin
1
Cremers, Martijn
1
Crosby, John
1
Feldhütter, Peter
1
Filipović, Damir
1
Fleckenstein, Matthias
1
Gandhi, Priyank
1
Gao, Xiaohui
1
Goldstein, Robert S.
1
Grasselli, Martino
1
Gupta, Anurag
1
Hansen, Jorge W.
1
Jacobs, Kris
1
Kang, Boda
1
Karlsson, Patrik
1
Karoui, Lotfi
1
Kimmel, Robert
1
Klingler, Sven
1
Lando, David
1
Leippold, Markus
1
Madan, Dilip B.
1
Mencía, Javier
1
Morton, Andrew J.
1
Pilz, Kay Frederik
1
Sentana, Enrique
1
Stambaugh, Robert F.
1
Strømberg, Jacob
1
Subrahmanyam, Marti G.
1
Syrstad, Olav
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
42
Journal of banking & finance
26
The journal of fixed income
22
The journal of futures markets
20
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
The journal of computational finance
16
Applied mathematical finance
15
Mathematical finance : an international journal of mathematics, statistics and financial theory
13
Review of derivatives research
13
The journal of finance : the journal of the American Finance Association
12
The review of financial studies
11
Finance and stochastics
10
International review of financial analysis
10
International journal of financial engineering
9
Journal of financial and quantitative analysis : JFQA
9
Quantitative finance
9
Working paper
9
Applied financial economics
8
Interest rate modelling after the financial crisis
8
Journal of mathematical finance
8
NBER Working Paper
8
NBER working paper series
8
Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
8
Discussion paper / B
7
Journal of empirical finance
7
Journal of international financial markets, institutions & money
7
Advances in futures and options research : a research annual
6
Research paper series / Swiss Finance Institute
6
Risks : open access journal
6
SpringerLink / Bücher
6
The European journal of finance
6
Economics letters
5
European journal of operational research : EJOR
5
Journal of international money and finance
5
Journal of money, credit and banking : JMCB
5
Lecture notes in economics and mathematical systems : LNEMS
5
SFB 649 discussion paper
5
Working paper / National Bureau of Economic Research, Inc.
5
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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
Treasury yield implied volatility and real activity
Cremers, Martijn
;
Fleckenstein, Matthias
;
Gandhi, Priyank
- In:
Journal of financial economics
140
(
2021
)
2
,
pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
9
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:
10
Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2010
Persistent link: https://www.econbiz.de/10008663092
Saved in:
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