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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Fergusson, Kevin"
~person:"Nikitopoulos, Christina"
~person:"Schlögl, Erik"
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Yield curve
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Zinsstruktur
9
Commodity derivative
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Derivat
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Interest rate
3
Interest rate derivative
3
Option pricing theory
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basis
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3/2 model
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Benchmark Approach
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Fergusson, Kevin
Nikitopoulos, Christina
Schlögl, Erik
Chiarella, Carl
11
Platen, Eckhard
7
Nikitopoulos, Christina Sklibosios
6
Chege Maina, Samuel
2
Fanelli, Viviana
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Hsiao, Chih-ying
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Pilz, Kay Frederik
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Tô, Thuy-duong
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Alfeus, Mesias
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Miller, Shane
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Ming Xi Huang
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Discussion paper / B
4
International journal of theoretical and applied finance
2
Research paper / Quantitative Finance Research Group, University of Technology Sydney
2
ASTIN bulletin : the journal of the International Actuarial Association
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Advances in finance and stochastics : essays in honour of Dieter Sondermann
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Annals of financial economics
1
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FIRN Research Paper
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Finance and stochastics
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Journal of banking & finance
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ECONIS (ZBW)
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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
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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
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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
Calibration of multicurrency LIBOR market models
Pilz, Kay Frederik
;
Schlögl, Erik
-
2010
Persistent link: https://www.econbiz.de/10009564650
Saved in:
8
A hybrid commodity and interest rate
Pilz, K. F.
;
Schlögl, Erik
-
2009
Persistent link: https://www.econbiz.de/10008662358
Saved in:
9
A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl
;
Schlögl, Erik
;
Nikitopoulos, Christina
-
2004
Persistent link: https://www.econbiz.de/10002431669
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