//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"The journal of computational finance"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Interest rate futures"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Interest rate derivative
23
Zinsderivat
23
Option pricing theory
18
Optionspreistheorie
18
Yield curve
15
Zinsstruktur
15
Theorie
11
Theory
11
Derivat
8
Derivative
8
Stochastic process
5
Stochastischer Prozess
5
Swap
5
Arbitrage Pricing
4
Arbitrage pricing
4
Interest rate
4
Simulation
4
Volatility
4
Volatilität
4
Zins
4
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Estimation
2
Schätzung
2
ANOVA
1
Analysis
1
Anleihe
1
Arbitrage
1
Bermudan products
1
Bermudan swaptions
1
Bond
1
Credit rating
1
Credit risk
1
Development theory
1
Entwicklungstheorie
1
Estimation theory
1
Fong-Vasicek (FV) model
1
Government securities
1
Greece
1
Griechenland
1
more ...
less ...
Online availability
All
Undetermined
4
Type of publication
All
Article
23
Type of publication (narrower categories)
All
Article in journal
22
Aufsatz in Zeitschrift
22
Language
All
English
23
Author
All
Rebonato, Riccardo
3
Joshi, Mark S.
2
Kennedy, Joanne E.
2
Korn, Ralf
2
Piterbarg, Vladimir V.
2
Schoenmakers, John
2
Andersen, Leif B. G.
1
Aspremont, Alexandre d'
1
Benninga, Simon
1
Bhuruth, Muddun
1
Brotherton-Ratcliffe, Rupert
1
Coonjobeharry, Radha Krishn
1
Coskun, Sema
1
Denson, Nick
1
Desmettre, Sascha
1
Glasserman, Paul
1
Gogala, Jaka
1
Jaeckel, Peter
1
Kaisajuntti, Linus
1
Kiesel, Rüdiger
1
Kurbanmuradov, O.
1
Liang, Qian
1
Lopes, Sara Dutra
1
Lutz, Matthias
1
Miltersen, Kristian R.
1
Papapantoleon, Antonis
1
Reisinger, Christoph
1
Sabelfeld, K.
1
Sidenius, Jakob
1
Skovmand, David
1
Tangman, Désiré Yannick
1
Vázquez, Carlos
1
Wiener, Zvi
1
Wissmann, Rasmus
1
Zhao, Xiaoliang
1
Zhu, Dan
1
more ...
less ...
Published in...
All
The journal of computational finance
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
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
IMF Working Papers
14
Applied financial economics
13
Europäische Hochschulschriften / 5
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
Interest rate modelling after the financial crisis
11
International review of financial analysis
11
Journal of financial and quantitative analysis : JFQA
11
Working paper
11
SSE EFI working paper series in economics and finance
10
International journal of financial engineering
9
NBER working paper series
9
Report / Erasmus Center for Financial Research, Erasmus University
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / B
8
Economics letters
8
Quantitative finance
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
The European journal of finance
8
Working papers / The Levy Economics Institute
8
Applied economics
7
Finance : revue de l'Association Française de Finance
7
Gabler Edition Wissenschaft
7
Interest rate futures : concepts and issues
7
Journal of economic dynamics & control
7
more ...
less ...
Source
All
ECONIS (ZBW)
23
Showing
1
-
10
of
23
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
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:
5
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:
6
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:
7
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:
8
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:
9
An n-dimensional Markov-functional interest rate model
Kaisajuntti, Linus
;
Kennedy, Joanne E.
- In:
The journal of computational finance
17
(
2013
)
1
,
pp. 3-41
Persistent link: https://www.econbiz.de/10010337822
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
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->