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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~isPartOf:"The journal of futures markets"
~subject:"Yield curve"
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Yield curve
Option pricing theory
541
Optionspreistheorie
541
Volatility
237
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237
CAPM
214
Theorie
205
Theory
205
Stochastic process
177
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Chen, Son-nan
3
Realdon, Marco
2
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Alfeus, Mesias
1
Asensio, Ivan Oscar
1
Bali, Turan G.
1
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Quantitative finance
The European journal of finance
The journal of futures markets
International journal of theoretical and applied finance
48
Journal of financial economics
40
Mathematical finance : an international journal of mathematics, statistics and financial theory
36
Journal of banking & finance
31
The journal of fixed income
29
Finance and stochastics
26
Applied mathematical finance
24
NBER working paper series
24
The review of financial studies
24
The journal of computational finance
23
The journal of derivatives : the official publication of the International Association of Financial Engineers
23
NBER Working Paper
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Working paper / National Bureau of Economic Research, Inc.
19
Review of derivatives research
18
International journal of financial engineering
16
Staff working paper / Bank of Canada
16
Discussion paper / B
14
Finance research letters
14
Journal of economic dynamics & control
14
The journal of finance : the journal of the American Finance Association
13
Risks : open access journal
12
Asia-Pacific financial markets
11
Discussion paper / Centre for Economic Policy Research
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International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
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Management science : journal of the Institute for Operations Research and the Management Sciences
11
Working paper
11
Working papers series / Federal Reserve Bank of San Francisco
11
Research paper series / Swiss Finance Institute
10
Staff reports / Federal Reserve Bank of New York
10
Finance and economics discussion series
8
Insurance / Mathematics & economics
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International review of economics & finance : IREF
8
Journal of international money and finance
8
Journal of mathematical finance
8
Mathematics and financial economics
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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ECONIS (ZBW)
43
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1
Cheapest-to-deliver collateral : a common factor approach
Wolf, Felix Lukas
;
Grzelak, Lech A.
;
Deelstra, Griselda
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 707-723
Persistent link: https://www.econbiz.de/10013367854
Saved in:
2
Bond indifference prices
Lorig, Matthew
;
Zou, Bin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1223-1233
Persistent link: https://www.econbiz.de/10012588039
Saved in:
3
SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan
;
Gellert, Karol
;
Schlögl, Erik
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
Saved in:
4
A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA
Hoencamp, J. H.
;
Jain, Surbhi
;
Kandhai, B. D.
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 409-432
Persistent link: https://www.econbiz.de/10014552078
Saved in:
5
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
Saved in:
6
Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
Chen, Fen-Ying
;
Yang, Sharon S.
;
Huang, Hong Chih
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1551-1565
Persistent link: https://www.econbiz.de/10012624157
Saved in:
7
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
8
Linear beta
pricing
with inefficient benchmarks in a given factor structure
Diacogiannis, George P.
;
Ioannidis, Christos
- In:
The European journal of finance
25
(
2019
)
16
,
pp. 1551-1571
Persistent link: https://www.econbiz.de/10012207122
Saved in:
9
The value of convexity : a theoretical and empirical investigation
Rebonato, Riccardo
;
Putyatin, Vladislav
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 11-30
Persistent link: https://www.econbiz.de/10011905821
Saved in:
10
Discounting earnings with stochastic discount rates
Realdon, Marco
- In:
The European journal of finance
25
(
2019
)
10
,
pp. 910-936
Persistent link: https://www.econbiz.de/10012207041
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