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~isPartOf:"Quantitative finance"
~subject:"Credit"
~subject:"Insolvency"
~subject:"Swap"
~subject:"Zinsstruktur"
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Zinsstruktur
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4
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4
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Anagnostou, I.
1
Badescu, Alexandru
1
Bormetti, Giacomo
1
Brigo, Damiano
1
Chen, Yi-Hsuan
1
Chen, Yuyu
1
Couch, Matthew
1
Cui, Zhenyu
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Filipović, Damir
1
Francischello, Marco
1
Fukasawa, Masaaki
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Garlaschelli, D.
1
Glau, Kathrin
1
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1
Kandhai, D.
1
Kitapbayev, Yerkin
1
Lesniewski, Andrew
1
Maire, Basile
1
Pachón, Ricardo
1
Pallavicini, Andrea
1
Pötz, Christian
1
Skoufis, G. E.
1
Squartini, T.
1
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1
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Quantitative finance
International journal of theoretical and applied finance
43
The journal of derivatives : the official publication of the International Association of Financial Engineers
29
Journal of banking & finance
26
NBER working paper series
24
The journal of fixed income
24
Applied mathematical finance
23
The journal of financial crises
22
International review of financial analysis
21
The journal of futures markets
20
Working paper / National Bureau of Economic Research, Inc.
19
Mathematical finance : an international journal of mathematics, statistics and financial theory
18
Journal of financial economics
17
NBER Working Paper
17
The journal of computational finance
17
Journal of international financial markets, institutions & money
15
Review of derivatives research
15
International review of economics & finance : IREF
14
Working Paper
14
European journal of operational research : EJOR
13
Finance and stochastics
13
Research paper series / Swiss Finance Institute
13
Staff working papers / Bank of England
13
The journal of finance : the journal of the American Finance Association
13
Finance research letters
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Journal of international money and finance
11
Journal of securities operations & custody
11
Applied economics
10
Discussion papers / CEPR
10
European financial management : the journal of the European Financial Management Association
10
Journal of financial and quantitative analysis : JFQA
10
The European journal of finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
The review of financial studies
10
Discussion paper / Centre for Economic Policy Research
9
Economics letters
9
International journal of financial engineering
9
Journal of financial services research : JFSR
9
Swiss Finance Institute Research Paper
9
The journal of investment compliance
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ECONIS (ZBW)
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1
Weighted variance swaps hedge against impermanent loss
Fukasawa, Masaaki
;
Maire, Basile
;
Wunsch, Marcus
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 901-911
Persistent link: https://www.econbiz.de/10014304393
Saved in:
2
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
3
CMS spread options
Hagan, Patrick S.
;
Lesniewski, Andrew
;
Skoufis, G. E.
; …
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1809-1824
Persistent link: https://www.econbiz.de/10012696777
Saved in:
4
Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin
;
Pachón, Ricardo
;
Pötz, Christian
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
Saved in:
5
Variance swaps valuation under non-affine GARCH models and their diffusion limits
Badescu, Alexandru
;
Chen, Yuyu
;
Couch, Matthew
;
Cui, Zhenyu
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 227-246
Persistent link: https://www.econbiz.de/10012194650
Saved in:
6
Dynamic credit default swap curves in a network topology
Xu, Xiu
;
Chen, Yi-Hsuan
;
Härdle, Wolfgang
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1705-1726
Persistent link: https://www.econbiz.de/10012194818
Saved in:
7
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:
8
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:
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