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~isPartOf:"Quantitative finance"
~isPartOf:"The journal of fixed income"
~subject:"Interest rate derivative"
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Interest rate derivative
Yield curve
169
Zinsstruktur
169
Theorie
68
Theory
68
USA
40
United States
40
Option pricing theory
33
Optionspreistheorie
33
Interest rate
26
Zins
25
Estimation
24
Schätzung
24
Credit risk
23
Kreditrisiko
23
Public bond
23
Öffentliche Anleihe
23
Volatility
22
Volatilität
22
Zinsderivat
22
Risikoprämie
21
Risk premium
21
Anleihe
20
Bond
20
CAPM
20
Government securities
19
Staatspapier
19
Derivat
17
Derivative
17
Corporate bond
15
Unternehmensanleihe
15
Stochastic process
12
Stochastischer Prozess
12
Capital income
11
Hypothek
11
Kapitaleinkommen
11
Mortgage
11
Credit derivative
8
Kreditderivat
8
Portfolio selection
8
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7
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1
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Article
22
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22
Aufsatz in Zeitschrift
22
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English
22
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Ho, Thomas S. Y.
2
Asensio, Ivan Oscar
1
Bandreddi, Santhosh
1
Bhansali, Vineer
1
Bierwag, Gerald O.
1
Bormetti, Giacomo
1
Brigo, Damiano
1
Brown, Rob
1
Clewlow, Les
1
Curtillet, Jean-Christophe
1
Das, Sanjiv R.
1
Eberlein, Ernst
1
Eom, Young Ho
1
Fan, Rong
1
Fang, Victor
1
Filipović, Damir
1
Francischello, Marco
1
Gerhart, Christoph
1
Hoencamp, J. H.
1
Hull, John
1
In, Francis Haeuck
1
Jain, Surbhi
1
Jamshidian, Farshid
1
Kandhai, B. D.
1
Kerkhof, Franciscus Lambertus Johannes
1
Kitapbayev, Yerkin
1
Klein, Daniel
1
Ngene, Geoffrey
1
Nikitina, Elena
1
Pagès, Henri
1
Pallavicini, Andrea
1
Putyatin, Vladislav
1
Rebonato, Riccardo
1
Schwarzkopf, Yonathan
1
Shen, Yang
1
Skov, Jacob Bjerre
1
Skovmand, David
1
Strickland, Chris
1
Subrahmanyam, Marti G.
1
Tah, Kenneth A.
1
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Published in...
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Quantitative finance
The journal of fixed income
International journal of theoretical and applied finance
26
The journal of computational finance
15
The journal of derivatives : the official publication of the International Association of Financial Engineers
14
The journal of futures markets
14
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
Journal of financial economics
8
Applied financial economics
7
Journal of mathematical finance
7
Discussion paper / B
6
International review of financial analysis
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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
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
3
Gabler Edition Wissenschaft
3
IMF working papers
3
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ECONIS (ZBW)
22
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1
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:
2
Decomposing LIBOR in transition : evidence from the futures markets
Skov, Jacob Bjerre
;
Skovmand, David
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 959-978
Persistent link: https://www.econbiz.de/10014304406
Saved in:
3
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:
4
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
5
VIX futures term structure and the expectations hypothesis
Asensio, Ivan Oscar
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 619-638
Persistent link: https://www.econbiz.de/10012194910
Saved in:
6
Ripple effects, the long-run relationship, and dynamic corrections among interest rate swap spreads
Tah, Kenneth A.
;
Ngene, Geoffrey
- In:
The journal of fixed income
27
(
2018
)
4
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011900629
Saved in:
7
Bond and option pricing for interest rate model with clustering effects
Zhang, Xin
;
Xiong, Jie
;
Shen, Yang
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 969-981
Persistent link: https://www.econbiz.de/10011911229
Saved in:
8
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
9
On the American swaption in the linear-rational framework
Filipović, Damir
;
Kitapbayev, Yerkin
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1865-1876
Persistent link: https://www.econbiz.de/10012262857
Saved in:
10
Forecasting swap spreads : a Bayesian approach
Klein, Daniel
;
Nikitina, Elena
;
Curtillet, Jean-Christophe
- In:
The journal of fixed income
26
(
2016
)
2
,
pp. 40-53
Persistent link: https://www.econbiz.de/10011684662
Saved in:
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