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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
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Interest rate derivative
8
Zinsderivat
8
Yield curve
5
Zinsstruktur
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Derivat
4
Derivative
4
Option pricing theory
4
Optionspreistheorie
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Schlögl, Erik
4
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Nikitopoulos, Christina Sklibosios
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Alfeus, Mesias
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Cheng, Benjamin
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Choy, Bruce
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
The journal of futures markets
139
International journal of theoretical and applied finance
33
The journal of fixed income
29
Advances in futures and options research : a research annual
28
The journal of derivatives : the official publication of the International Association of Financial Engineers
25
Journal of banking & finance
24
The journal of computational finance
23
Review of futures markets
18
Applied mathematical finance
16
The journal of finance : the journal of the American Finance Association
16
Finance and stochastics
15
Journal of international financial markets, institutions & money
15
The review of financial studies
15
Applied financial economics
13
Journal of financial economics
13
Review of derivatives research
13
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Selected writings on futures markets : explorations in financial futures markets
12
Europäische Hochschulschriften / 5
11
Interest rate modelling after the financial crisis
11
International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
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Working paper
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SSE EFI working paper series in economics and finance
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International journal of financial engineering
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NBER working paper series
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Report / Erasmus Center for Financial Research, Erasmus University
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Working paper / National Bureau of Economic Research, Inc.
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Economics letters
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The European journal of finance
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Applied economics
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ECB Working Paper
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Finance : revue de l'Association Française de Finance
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Gabler Edition Wissenschaft
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Interest rate futures : concepts and issues
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Journal of economic dynamics & control
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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
Saved in:
2
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:
3
Hedging futures options with stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778107
Saved in:
4
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
5
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:
6
A class of jump-diffusion bond pricing models within the HJM framework
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
-
2004
Persistent link: https://www.econbiz.de/10002260625
Saved in:
7
A note on the bias of using futures rates as a proxy for the instantaneous forward rate
Tô, Thuy-duong
-
2004
Persistent link: https://www.econbiz.de/10002721679
Saved in:
8
Correlating market models
Choy, Bruce
;
Dun, Tim
;
Schlogl, Erik
-
2003
Persistent link: https://www.econbiz.de/10002250905
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