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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Currency derivative"
~subject:"Zinsstruktur"
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Search: subject_exact:"Zinsstrukturmodell"
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Currency derivative
Zinsstruktur
Yield curve
94
Theorie
68
Theory
68
Option pricing theory
39
Optionspreistheorie
39
Stochastic process
22
Stochastischer Prozess
22
Volatility
19
Volatilität
19
Interest rate derivative
14
Zinsderivat
14
Swap
10
Derivat
9
Derivative
9
CAPM
8
Anleihe
6
Bond
6
Credit risk
6
Kreditrisiko
6
Markov chain
6
Markov-Kette
6
Portfolio selection
6
Portfolio-Management
6
Zero-Bond
6
Zero-coupon bond
6
Credit derivative
5
Interest rate
5
Kreditderivat
5
Option trading
5
Optionsgeschäft
5
Probability theory
5
Risikoprämie
5
Risk premium
5
Wahrscheinlichkeitsrechnung
5
Währungsderivat
5
Zins
5
Arbitrage
4
Estimation
4
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Article
69
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69
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69
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25
Graue Literatur
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25
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English
94
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Chiarella, Carl
11
Platen, Eckhard
8
Schlögl, Erik
7
Nikitopoulos, Christina Sklibosios
6
Eberlein, Ernst
4
Filipović, Damir
4
Levendorskij, Sergej Z.
3
Rutkowski, Marek
3
Teichmann, Josef
3
Björk, Tomas
2
Brace, Alan
2
Chege Maina, Samuel
2
Fanelli, Viviana
2
Fergusson, Kevin
2
Gouriéroux, Christian
2
Grasselli, Martino
2
Hsiao, Chih-ying
2
Jarrow, Robert A.
2
Kennedy, D. P.
2
Kou, Steven
2
Monfort, Alain
2
Musiela, Marek
2
Musti, Silvana
2
Pilz, Kay Frederik
2
Rogers, Leonard C. G.
2
Runggaldier, Wolfgang J.
2
Scaillet, Olivier
2
Tô, Thuy-duong
2
Aihara, Shin Ichi
1
Akahori, Jirô
1
Alfeus, Mesias
1
Aquilina, J.
1
Bagchi, Arunabha
1
Beyna, Ingo
1
Bielecki, Tomasz R.
1
Bojarčenko, Svetlana I.
1
Boyarchenko, Nina
1
Bruti-Liberati, Nicola
1
Cairns, Andrew
1
Carverhill, Andrew
1
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
NBER working paper series
268
Working paper / National Bureau of Economic Research, Inc.
237
Journal of banking & finance
221
NBER Working Paper
211
The journal of fixed income
140
Discussion paper / Centre for Economic Policy Research
132
Journal of international money and finance
119
Journal of financial economics
116
International journal of theoretical and applied finance
111
Working paper series / European Central Bank
109
Finance and economics discussion series
106
IMF working papers
105
Finance research letters
98
Working paper
96
Journal of money, credit and banking : JMCB
93
International review of economics & finance : IREF
88
Economics letters
87
The review of financial studies
85
Applied economics
83
The journal of finance : the journal of the American Finance Association
77
Economic modelling
73
Journal of monetary economics
73
Journal of empirical finance
72
International review of financial analysis
69
Applied financial economics
68
Journal of economic dynamics & control
68
Working papers series / Federal Reserve Bank of San Francisco
68
Applied economics letters
61
Discussion papers / CEPR
61
Discussion paper
60
Journal of financial and quantitative analysis : JFQA
60
The journal of futures markets
59
CESifo working papers
58
Journal of international financial markets, institutions & money
58
ECB Working Paper
56
The North American journal of economics and finance : a journal of financial economics studies
56
Staff reports / Federal Reserve Bank of New York
53
Finance and stochastics
51
IMF working paper
51
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ECONIS (ZBW)
94
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1
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:
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
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
5
Stylised properties of the interest rate term structure under the benchmark approach
Fergusson, Kevin
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344800
Saved in:
6
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
7
Alternative term structure models for reviewing expectations puzzles
Nikitopoulos, Christina Sklibosios
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009564459
Saved in:
8
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:
9
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:
10
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
To, Thuy-duong
-
2011
Persistent link: https://www.econbiz.de/10009564612
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