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~isPartOf:"The journal of computational finance"
~subject:"EU-Staaten"
~subject:"Interest rate derivative"
~subject:"United States"
~type_genre:"Article in journal"
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EU-Staaten
Interest rate derivative
United States
Yield curve
28
Zinsstruktur
28
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23
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23
Zinsderivat
14
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Joshi, Mark S.
2
Korn, Ralf
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Schoenmakers, John
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1
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1
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1
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Sidenius, Jakob
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1
Tangman, Désiré Yannick
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The journal of computational finance
Journal of banking & finance
64
The review of financial studies
60
The journal of fixed income
52
Journal of international money and finance
49
The journal of finance : the journal of the American Finance Association
47
Journal of money, credit and banking : JMCB
44
Economics letters
32
International journal of theoretical and applied finance
30
The journal of futures markets
30
Journal of financial economics
28
Journal of financial and quantitative analysis : JFQA
27
Journal of monetary economics
27
Applied economics
25
Applied financial economics
23
International review of financial analysis
22
Economic modelling
21
Journal of economic dynamics & control
21
Journal of economics & business
18
Journal of international financial markets, institutions & money
18
International review of economics & finance : IREF
17
The journal of derivatives : the official publication of the International Association of Financial Engineers
17
Journal of econometrics
15
Review of finance : journal of the European Finance Association
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
15
The review of economics and statistics
15
Finance research letters
14
Journal of macroeconomics
14
Review / Federal Reserve Bank of St. Louis
14
The North American journal of economics and finance : a journal of financial economics studies
14
Applied mathematical finance
13
Journal of empirical finance
13
Applied economics letters
12
Economic review
12
International journal of central banking : IJCB
12
International journal of finance & economics : IJFE
12
International journal of financial engineering
12
International journal of forecasting
12
Journal of applied econometrics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
15
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1
A libor market model including credit risk under the real-world measure
Lopes, Sara Dutra
;
Vázquez, Carlos
- In:
The journal of computational finance
24
(
2020
)
3
,
pp. 111-141
Persistent link: https://www.econbiz.de/10012544160
Saved in:
2
Application of the Heath-Platen estimator in the Fong-Vasicek short rate model
Coskun, Sema
;
Korn, Ralf
;
Desmettre, Sascha
- In:
The journal of computational finance
23
(
2019
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012064963
Saved in:
3
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
4
A hybrid tree/finite-difference approach for Heston-Hull-White-type models
Briani, Maya
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
The journal of computational finance
21
(
2017/2018
)
3
,
pp. 1-45
Persistent link: https://www.econbiz.de/10011848334
Saved in:
5
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, Mark S.
;
Zhu, Dan
- In:
The journal of computational finance
20
(
2016
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10011639618
Saved in:
6
A simple approximation for the no-arbitrage drifts in Libor market model–SABR-family interest-rate models
Rebonato, Riccardo
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011480695
Saved in:
7
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
Reisinger, Christoph
;
Wissmann, Rasmus
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 95-127
Persistent link: https://www.econbiz.de/10011441267
Saved in:
8
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
9
Robust and accurate Monte Carlo simulation of (cross-) Gammas for Bermudan swaptions in the LIBOR market model
Korn, Ralf
;
Liang, Qian
- In:
The journal of computational finance
17
(
2013/2014
)
3
,
pp. 87-110
Persistent link: https://www.econbiz.de/10010366276
Saved in:
10
Efficient and accurate log-Lévy approximations of Lévy-driven LIBOR models
Papapantoleon, Antonis
;
Schoenmakers, John
;
Skovmand, David
- In:
The journal of computational finance
15
(
2011/12
)
4
,
pp. 3-44
Persistent link: https://www.econbiz.de/10009575414
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